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A Multilevel Monte Carlo Method for Computing Failure Probabilities - MaRDI portal

A Multilevel Monte Carlo Method for Computing Failure Probabilities (Q5741181)

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scientific article; zbMATH DE number 6605403
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English
A Multilevel Monte Carlo Method for Computing Failure Probabilities
scientific article; zbMATH DE number 6605403

    Statements

    title
    A Multilevel Monte Carlo Method for Computing Failure Probabilities (English)
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    author
    Daniel Elfverson
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    Fredrik Hellman
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    Axel Målqvist
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    publication date
    22 July 2016
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    zbMATH Keywords
    multilevel Monte Carlo
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    failure probability
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    uncertainty quantification
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    error analysis
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    quantile estimation
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    numerical experiment
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    describes a project that uses
    SciPy
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    FEniCS
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    cites work

    Identifiers

    DOI
    10.1137/140984294
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    Mathematics Subject Classification ID
    65C05
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    65C30
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    60H15
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    60H35
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    65N15
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    zbMATH DE Number
    6605403
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    OpenAlex ID
    W2153740376
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    arXiv ID
    1408.6856
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