Parallel Multilevel Monte Carlo Algorithms for Elliptic PDEs with Random Coefficients

DOI10.1007/978-3-030-41032-2_53OpenAlexW3005873963MaRDI QIDQ3297728

P. E. Zakharov, Nikolay Shegunov, O. P. Iliev, Jan Mohring

Publication date: 20 July 2020

Published in: Large-Scale Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-41032-2_53

zbMATH Keywords

Monte Carlo methodrenormalizationstochastic PDE

Mathematics Subject Classification ID

Numerical analysis (65-XX)

Related Items (1)

A massively parallel implementation of multilevel Monte Carlo for finite element models

Uses Software

• FFTW

Cites Work

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• Optimal multigrid algorithms for calculating thermodynamic limits
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• Uncertainty Quantification for Porous Media Flow Using Multilevel Monte Carlo
• Multilevel Monte Carlo Path Simulation
• Fast and Exact Simulation of Stationary Gaussian Processes through Circulant Embedding of the Covariance Matrix
• Analysis of Circulant Embedding Methods for Sampling Stationary Random Fields
• Finite Element Error Analysis of Elliptic PDEs with Random Coefficients and Its Application to Multilevel Monte Carlo Methods
• Scheduling Massively Parallel Multigrid for Multilevel Monte Carlo Methods
• Parallel computation of flow in heterogeneous media modelled by mixed finite elements

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