Results 221 to 230 of about 545,959 (267)

Multilevel Monte Carlo FDTD Method for Uncertainty Quantification

IEEE Antennas and Wireless Propagation Letters, 2022
The recent multilevel Monte Carlo method is here proposed for uncertainty quantification in electromagnetic problems solved by the finite-difference time-domain (FDTD) method, when material parameters are modeled as random variables.
Xiaojie Zhu   +3 more
semanticscholar   +3 more sources

Multilevel Monte Carlo Methods [PDF]

open access: yesLarge-Scale Scientific Computing, 2001
We study Monte Carlo approximations to high dimensional parameter dependent integrals. We survey the multilevel variance reduction technique introduced by the author in [4] and present extensions and new developments of it. The tools needed for the convergence analysis of vector-valued Monte Carlo methods are discussed, as well.
S. Heinrich
semanticscholar   +2 more sources

Multilevel Monte Carlo methods for the Dean-Kawasaki equation from Fluctuating Hydrodynamics

SIAM Journal on Numerical Analysis, 2023
Stochastic PDEs of Fluctuating Hydrodynamics are a powerful tool for the description of fluctuations in many-particle systems. In this paper, we develop and analyze a Multilevel Monte Carlo (MLMC) scheme for the Dean--Kawasaki equation, a pivotal ...
Federico Cornalba, Julian Fischer
semanticscholar   +1 more source

Covariance estimation using h-statistics in Monte Carlo and Multilevel Monte Carlo methods

International Journal for Uncertainty Quantification, 2023
We present novel Monte Carlo (MC) and multilevel Monte Carlo (MLMC) methods to determine the unbiased covariance of random variables using h-statistics.
S. Shivanand
semanticscholar   +1 more source

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