Adaptive multilevel subset simulation with selective refinement
DOI10.1137/22m1515240MaRDI QIDQ6645124
F. A. DiazDelaO, Robert Scheichl, Daniel Elfverson, Simon Weissmann
Publication date: 28 November 2024
Published in: SIAM/ASA Journal on Uncertainty Quantification (Search for Journal in Brave)
Markov chain Monte Carlohigh-dimensional problemsrare event probabilitiesadaptive model hierarchiesshaking transformations
Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Boundary value problems for second-order elliptic equations (35J25) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Numerical analysis or methods applied to Markov chains (65C40) PDEs with randomness, stochastic partial differential equations (35R60)
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