Modern Monte Carlo methods for efficient uncertainty quantification and propagation: a survey
From MaRDI portal
Publication:6602125
DOI10.1002/wics.1539zbMATH Open1544.62167MaRDI QIDQ6602125
Publication date: 11 September 2024
Published in: Wiley Interdisciplinary Reviews. WIREs Computational Statistics (Search for Journal in Brave)
Monte Carlo methodsuncertainty quantificationmultilevel Monte Carlouncertainty propagationmultifidelity Monte Carlo
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Multi-index Monte Carlo: when sparsity meets sampling
- Imprecise random variables, random sets, and Monte Carlo simulation
- Uncertainty quantification in computational fluid dynamics
- Uncertainty quantification. An accelerated course with advanced applications in computational engineering
- Multilevel sequential Monte Carlo samplers
- Towards a frequentist theory of upper and lower probability
- Monte Carlo complexity of global solution of integral equations
- Towards a unified theory of imprecise probability
- The theory of interval-probability as a unifying concept for uncertainty
- Multi-fidelity Gaussian process regression for prediction of random fields
- Combining multiple surrogate models to accelerate failure probability estimation with expensive high-fidelity models
- A low-rank control variate for multilevel Monte Carlo simulation of high-dimensional uncertain systems
- Discovering variable fractional orders of advection-dispersion equations from field data using multi-fidelity Bayesian optimization
- Multilevel and multi-index Monte Carlo methods for the McKean-Vlasov equation
- Imprecise Monte Carlo simulation and iterative importance sampling for the estimation of lower previsions
- Projection-based model reduction: formulations for physics-based machine learning
- Uncertainty quantification in multiscale simulation of woven fiber composites
- A generalized approximate control variate framework for multifidelity uncertainty quantification
- Multilevel and multifidelity uncertainty quantification for cardiovascular hemodynamics
- On the quantification and efficient propagation of imprecise probabilities with copula dependence
- Quantifying uncertain system outputs via the multilevel Monte Carlo method. I: Central moment estimation
- High-dimensional and higher-order multifidelity Monte Carlo estimators
- Data-driven operator inference for nonintrusive projection-based model reduction
- A continuation multi level Monte Carlo (C-MLMC) method for uncertainty quantification in compressible inviscid aerodynamics
- Multi-fidelity optimization of super-cavitating hydrofoils
- The effect of prior probabilities on quantification and propagation of imprecise probabilities resulting from small datasets
- Multifidelity importance sampling
- Quantifying uncertainties in contact mechanics of rough surfaces using the Multilevel Monte Carlo method
- Statistical Romberg extrapolation: a new variance reduction method and applications to option pricing
- Unbiased Estimation with Square Root Convergence for SDE Models
- A Survey of Projection-Based Model Reduction Methods for Parametric Dynamical Systems
- Multilevel ensemble Kalman filtering
- Optimal Model Management for Multifidelity Monte Carlo Estimation
- Uncertainty Quantification for Subsurface Flow Problems Using Coarse-Scale Models
- Multilevel Monte Carlo Methods
- Handbook of Uncertainty Quantification
- Introduction to Uncertainty Quantification
- Multifidelity approaches for optimization under uncertainty
- Simulation and the Monte Carlo Method
- Adaptive Multiple Importance Sampling
- Multifidelity Monte Carlo Estimation of Variance and Sensitivity Indices
- Multifidelity Preconditioning of the Cross-Entropy Method for Rare Event Simulation and Failure Probability Estimation
- An Adaptive Multilevel Monte Carlo Method with Stochastic Bounds for Quantities of Interest with Uncertain Data
- Multilevel Monte Carlo Path Simulation
- A Hierarchical Multilevel Markov Chain Monte Carlo Algorithm with Applications to Uncertainty Quantification in Subsurface Flow
- Spectral Methods for Uncertainty Quantification
- Uncertainty quantification in chemical systems
- Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
- Large Sample Properties of Simulations Using Latin Hypercube Sampling
- Quasi-Monte Carlo methods and pseudo-random numbers
- Sequential Monte Carlo Methods for Dynamic Systems
- Survey of Multifidelity Methods in Uncertainty Propagation, Inference, and Optimization
- Multilevel Particle Filters
- Conditional-Value-at-Risk Estimation via Reduced-Order Models
- Stochastic Finite Differences and Multilevel Monte Carlo for a Class of SPDEs in Finance
- Multilevel quasi-Monte Carlo integration with product weights for elliptic PDEs with lognormal coefficients
- FORWARD AND INVERSE UNCERTAINTY QUANTIFICATION USING MULTILEVEL MONTE CARLO ALGORITHMS FOR AN ELLIPTIC NONLOCAL EQUATION
- A MULTI-INDEX MARKOV CHAIN MONTE CARLO METHOD
- Equation of State Calculations by Fast Computing Machines
- Multilevel Markov Chain Monte Carlo
- Multifidelity Monte Carlo Estimation with Adaptive Low-Fidelity Models
- Multilevel Monte Carlo Analysis for Optimal Control of Elliptic PDEs with Random Coefficients
- Quasi-Monte Carlo and Multilevel Monte Carlo Methods for Computing Posterior Expectations in Elliptic Inverse Problems
- Multilevel Quasi-Monte Carlo methods for lognormal diffusion problems
- Introduction to Imprecise Probabilities
- Fuzzy sets
- Monte Carlo sampling methods using Markov chains and their applications
- Multifidelity Information Fusion Algorithms for High-Dimensional Systems and Massive Data sets
- A Multilevel Monte Carlo Method for Computing Failure Probabilities
- A Stochastic Collocation Method for Elliptic Partial Differential Equations with Random Input Data
- A new look at the statistical model identification
- Generalized information reuse for optimization under uncertainty with non-sample average estimators
Related Items (1)
This page was built for publication: Modern Monte Carlo methods for efficient uncertainty quantification and propagation: a survey