A hierarchical multilevel Markov chain Monte Carlo algorithm with applications to uncertainty quantification in subsurface flow
In this paper we address the problem of the prohibitively large computational cost of existing Markov chain Monte Carlo methods for large-scale applications with high-dimensional parameter spaces, e.g., in uncertainty quantification in porous media flow. We propose a new multilevel Metropolis--Hasti...
Gespeichert in:
| Hauptverfasser: | , , , |
|---|---|
| Dokumenttyp: | Article (Journal) |
| Sprache: | Englisch |
| Veröffentlicht: |
November 3, 2015
|
| In: |
SIAM ASA journal on uncertainty quantification
Year: 2015, Jahrgang: 3, Heft: 1, Pages: 1075-1108 |
| ISSN: | 2166-2525 |
| DOI: | 10.1137/130915005 |
| Online-Zugang: | Verlag, lizenzpflichtig, Volltext: https://doi.org/10.1137/130915005 Verlag, lizenzpflichtig, Volltext: https://epubs.siam.org/doi/abs/10.1137/130915005 
|
| Verfasserangaben: | T.J. Dodwell, C. Ketelsen, R. Scheichl, and A.L. Teckentrup |
MARC
| LEADER | 00000caa a2200000 c 4500 | ||
|---|---|---|---|
| 001 | 1728510686 | ||
| 003 | DE-627 | ||
| 005 | 20220818185855.0 | ||
| 007 | cr uuu---uuuuu | ||
| 008 | 200901s2015 xx |||||o 00| ||eng c | ||
| 024 | 7 | |a 10.1137/130915005 |2 doi | |
| 035 | |a (DE-627)1728510686 | ||
| 035 | |a (DE-599)KXP1728510686 | ||
| 035 | |a (OCoLC)1341358048 | ||
| 040 | |a DE-627 |b ger |c DE-627 |e rda | ||
| 041 | |a eng | ||
| 084 | |a 27 |2 sdnb | ||
| 100 | 1 | |a Dodwell, Tim |e VerfasserIn |0 (DE-588)1204142718 |0 (DE-627)1689281499 |4 aut | |
| 245 | 1 | 2 | |a A hierarchical multilevel Markov chain Monte Carlo algorithm with applications to uncertainty quantification in subsurface flow |c T.J. Dodwell, C. Ketelsen, R. Scheichl, and A.L. Teckentrup |
| 264 | 1 | |c November 3, 2015 | |
| 300 | |a 34 | ||
| 336 | |a Text |b txt |2 rdacontent | ||
| 337 | |a Computermedien |b c |2 rdamedia | ||
| 338 | |a Online-Ressource |b cr |2 rdacarrier | ||
| 500 | |a Gesehen am 01.09.2020 | ||
| 520 | |a In this paper we address the problem of the prohibitively large computational cost of existing Markov chain Monte Carlo methods for large-scale applications with high-dimensional parameter spaces, e.g., in uncertainty quantification in porous media flow. We propose a new multilevel Metropolis--Hastings algorithm and give an abstract, problem-dependent theorem on the cost of the new multilevel estimator based on a set of simple, verifiable assumptions. For a typical model problem in subsurface flow, we then provide a detailed analysis of these assumptions and show significant gains over the standard Metropolis--Hastings estimator. Numerical experiments confirm the analysis and demonstrate the effectiveness of the method with consistent reductions of more than an order of magnitude in the cost of the multilevel estimator over the standard Metropolis--Hastings algorithm for tolerances $\varepsilon < 10^{-2}$. | ||
| 700 | 1 | |a Ketelsen, C. |e VerfasserIn |4 aut | |
| 700 | 1 | |a Scheichl, Robert |d 1972- |e VerfasserIn |0 (DE-588)1173753842 |0 (DE-627)1043602305 |0 (DE-576)515668532 |4 aut | |
| 700 | 1 | |a Teckentrup, A. L. |e VerfasserIn |4 aut | |
| 773 | 0 | 8 | |i Enthalten in |a Society for Industrial and Applied Mathematics |t SIAM ASA journal on uncertainty quantification |d Philadelphia, Pa. : SIAM, 2013 |g 3(2015), 1, Seite 1075-1108 |h Online-Ressource |w (DE-627)729754006 |w (DE-600)2690603-X |w (DE-576)391400703 |x 2166-2525 |7 nnas |
| 773 | 1 | 8 | |g volume:3 |g year:2015 |g number:1 |g pages:1075-1108 |g extent:34 |a A hierarchical multilevel Markov chain Monte Carlo algorithm with applications to uncertainty quantification in subsurface flow |
| 787 | 0 | 8 | |i Errata |a Dodwell, Tim |t Erratum: A hierarchical multilevel Markov chain Monte Carlo algorithm with applications to uncertainty quantification in subsurface flow |d 2019 |w (DE-627)172850998X |
| 856 | 4 | 0 | |u https://doi.org/10.1137/130915005 |x Verlag |x Resolving-System |z lizenzpflichtig |3 Volltext |
| 856 | 4 | 0 | |u https://epubs.siam.org/doi/abs/10.1137/130915005 |x Verlag |z lizenzpflichtig |3 Volltext |
| 951 | |a AR | ||
| 992 | |a 20200901 | ||
| 993 | |a Article | ||
| 994 | |a 2015 | ||
| 998 | |g 1173753842 |a Scheichl, Robert |m 1173753842:Scheichl, Robert |p 3 | ||
| 999 | |a KXP-PPN1728510686 |e 374577356X | ||
| BIB | |a Y | ||
| SER | |a journal | ||
| JSO | |a {"recId":"1728510686","language":["eng"],"name":{"displayForm":["T.J. Dodwell, C. Ketelsen, R. Scheichl, and A.L. Teckentrup"]},"type":{"media":"Online-Ressource","bibl":"article-journal"},"id":{"doi":["10.1137/130915005"],"eki":["1728510686"]},"origin":[{"dateIssuedDisp":"November 3, 2015","dateIssuedKey":"2015"}],"note":["Gesehen am 01.09.2020"],"physDesc":[{"extent":"34 S."}],"relHost":[{"disp":"Society for Industrial and Applied MathematicsSIAM ASA journal on uncertainty quantification","language":["eng"],"titleAlt":[{"title":"JUQ"},{"title":"Journal on uncertainty quantification"}],"type":{"bibl":"periodical","media":"Online-Ressource"},"part":{"pages":"1075-1108","text":"3(2015), 1, Seite 1075-1108","issue":"1","year":"2015","volume":"3","extent":"34"},"corporate":[{"role":"aut","display":"Society for Industrial and Applied Mathematics"},{"display":"American Statistical Association","role":"isb"}],"title":[{"title_sort":"SIAM ASA journal on uncertainty quantification","title":"SIAM ASA journal on uncertainty quantification"}],"recId":"729754006","name":{"displayForm":["Society for Industrial and Applied Mathematics ; American Statistical Association"]},"pubHistory":["1.2013 -"],"id":{"zdb":["2690603-X"],"eki":["729754006"],"issn":["2166-2525"]},"origin":[{"publisherPlace":"Philadelphia, Pa.","dateIssuedKey":"2013","dateIssuedDisp":"2013-","publisher":"SIAM"}],"note":["Gesehen am 21.05.13"],"physDesc":[{"extent":"Online-Ressource"}]}],"person":[{"given":"Tim","family":"Dodwell","display":"Dodwell, Tim","role":"aut"},{"family":"Ketelsen","given":"C.","display":"Ketelsen, C.","role":"aut"},{"given":"Robert","family":"Scheichl","display":"Scheichl, Robert","role":"aut"},{"family":"Teckentrup","given":"A. L.","role":"aut","display":"Teckentrup, A. L."}],"title":[{"title":"A hierarchical multilevel Markov chain Monte Carlo algorithm with applications to uncertainty quantification in subsurface flow","title_sort":"hierarchical multilevel Markov chain Monte Carlo algorithm with applications to uncertainty quantification in subsurface flow"}]} | ||
| SRT | |a DODWELLTIMHIERARCHIC3201 | ||