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Showing 1 to 5 of 5 for “"Multilevel Monte Carlo"”.
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A Review of Multilevel Monte Carlo Methods
The Monte Carlo method (MC) is a common numerical technique used to approximate an expectation that does not have an analytical solution. For certain problems, MC can be inefficient. Many techniques exist to improve the efficiency of MC methods. The Multilevel Monte Carlo (ML) technique developed …
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Uncertainty quantification of engineering systems using the multilevel Monte Carlo method
… in real-world engineering systems using the multilevel Monte Carlo method. It is often infeasible to use the traditional Monte Carlo method to investigate the impact of uncertainty because computationally it can be prohibitively expensive for complex systems. Therefore, the newer multilevel …
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Multilevel Monte Carlo simulation of soft matter using coarse-grained models
… to assess. In this thesis, we investigate a multilevel simulation strategy that leverages one or multiple levels of coarse graining to simulate the exact physical system of interest. This approach is inspired by the multilevel Monte Carlo method, a numerical technique in stochastic simulation …
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Advances in Sobol' Index Estimation: Metamodeling, Multilevel Monte Carlo Metamodeling, and Nested Simulation Techniques
… advanced techniques based on metamodeling, multilevel Monte Carlo (MLMC) metamodeling, and nested simulation. We develop two joint metamodel-based estimators for Sobol' indices with established asymptotic normality, enabling reliable uncertainty quantification. Our proposed MLMC metamodeling …
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PRACTICAL INVESTIGATIONS ON BAYESIAN INVERSE PROBLEMS
… two-fold. We present a novel adaptive sequential Monte Carlo method and its application to the groundwater-flow problem. Here, we observe significant time-savings compared to previous SMC approaches. We also observe, however, that this method is still too slow to be used in practice. Therefore, …