Asymptotic Analysis of Multilevel Best Linear Unbiased Estimators

DOI10.1137/20M1321607zbMath1497.65235arXiv2012.03658OpenAlexW3175058368MaRDI QIDQ5010086

Daniel Schaden, Elisabeth Ullmann

Publication date: 24 August 2021

Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.03658

zbMATH Keywords

Monte Carlopartial differential equationRichardson extrapolationuncertainty quantificationmultilevel Monte Carlo

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Probabilistic methods, particle methods, etc. for boundary value problems involving PDEs (65N75) Monte Carlo methods (65C05) Asymptotic behavior of solutions to PDEs (35B40) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Extrapolation to the limit, deferred corrections (65B05) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (4)

Budget-limited distribution learning in multifidelity problems ⋮ Multi-output multilevel best linear unbiased estimators via semidefinite programming ⋮ Context-aware learning of hierarchies of low-fidelity models for multi-fidelity uncertainty quantification ⋮ A Bandit-Learning Approach to Multifidelity Approximation

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