A Multi-Index Quasi--Monte Carlo Algorithm for Lognormal Diffusion Problems (Q5372657)

scientific article; zbMATH DE number 6799814

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English	A Multi-Index Quasi--Monte Carlo Algorithm for Lognormal Diffusion Problems	scientific article; zbMATH DE number 6799814

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instance of

scholarly article

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title

A Multi-Index Quasi--Monte Carlo Algorithm for Lognormal Diffusion Problems (English)

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SIAM Journal on Scientific Computing

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publication date

27 October 2017

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full work available at URL

https://arxiv.org/abs/1608.03157

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zbMATH Keywords

multilevel Monte Carlo

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multi-index Monte Carlo

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quasi-Monte Carlo

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elliptic PDEs

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uncertainty quantification

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describes a project that uses

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MaRDI publication profile

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cites work

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Multi-level Monte Carlo finite element method for elliptic PDEs with stochastic coefficients

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Fast random field generation with \(H\)-matrices

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Dimension-adaptive tensor-product quadrature

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Multilevel Monte Carlo Path Simulation

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Quasi-Monte Carlo finite element methods for elliptic PDEs with lognormal random coefficients

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Quasi-Monte Carlo methods for elliptic PDEs with random coefficients and applications

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Q3140818

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Multi-index stochastic collocation convergence rates for random PDEs with parametric regularity

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Multi-index Monte Carlo: when sparsity meets sampling

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Q4433869

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Application of quasi-Monte Carlo methods to elliptic PDEs with random diffusion coefficients: a survey of analysis and implementation

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Multilevel Quasi-Monte Carlo methods for lognormal diffusion problems

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Q5713157

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Fast CBC construction of randomly shifted lattice rules achieving \(\mathcal{O}(n^{- 1 + \delta})\) convergence for unbounded integrands over \(\mathbb{R}^s\) in weighted spaces with POD weights

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Convergence of quasi-optimal sparse-grid approximation of Hilbert-space-valued functions: Application to random elliptic PDEs

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Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces

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Multilevel Monte Carlo for the Feynman-Kac formula for the Laplace equation

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A Multi-Index Quasi--Monte Carlo Algorithm for Lognormal Diffusion Problems

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Karhunen-Loève approximation of random fields by generalized fast multipole methods

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Q3992967

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The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations

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Identifiers

zbMATH Open document ID

1386.60225

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DOI

10.1137/16M1082561

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5372657