A dimension-adaptive multi-index Monte Carlo method applied to a model of a heat exchanger

DOI10.1007/978-3-319-91436-7_24zbMath1407.80013arXiv1708.04959OpenAlexW2964033852MaRDI QIDQ1722540

Dirk Nuyens, Pieterjan Robbe, Stefan Vandewalle

Publication date: 18 February 2019

Full work available at URL: https://arxiv.org/abs/1708.04959

zbMATH Keywords

PDEs with random coefficientsmulti-index Monte Carlodimension-adaptivity

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Optimization problems in thermodynamics and heat transfer (80M50)

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