Multilevel Monte Carlo Covariance Estimation for the Computation of Sobol' Indices
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Publication:4960977
DOI10.1137/18M1216389zbMath1483.65012OpenAlexW2945991232WikidataQ126767503 ScholiaQ126767503MaRDI QIDQ4960977
Publication date: 24 April 2020
Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/18m1216389
parameter estimationsensitivity analysisMonte Carlouncertainty quantificationmultilevel Monte CarloSobol' indices
Multigrid methods; domain decomposition for boundary value problems involving PDEs (65N55) Analysis of algorithms and problem complexity (68Q25) Sampling theory, sample surveys (62D05) Monte Carlo methods (65C05) Sequential estimation (62L12)
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