Multilevel Quasi Monte Carlo Methods for Elliptic PDEs with Random Field Coefficients via Fast White Noise Sampling
DOI10.1137/20M1329044WikidataQ114074207 ScholiaQ114074207MaRDI QIDQ5010235
Michael B. Giles, Matteo Croci, Patrick E. Farrell
Publication date: 25 August 2021
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1911.12099
finite elementswhite noisepartial differential equations with random coefficientsnonnested meshesMatérn Gaussian fieldsmultilevel quasi Monte Carlo
Random fields (60G60) Monte Carlo methods (65C05) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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