Results 21 to 30 of about 40,789 (244)
Deflated Multigrid Multilevel Monte Carlo
Proceedings of The 39th International Symposium on Lattice Field Theory — PoS(LATTICE2022), 2022 In lattice QCD, the trace of the inverse of the discretized Dirac operator appears in the disconnected fermion loop contribution to an observable. As simulation methods get more and more precise, these contributions become increasingly important. Hence, we consider here the problem of computing the trace $\mathrm{tr}(D^{-1})$, with $D$ the Dirac ...
Frommer, Andreas +1 more
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Multilevel Monte Carlo learning
, 2021 In this work, we study the approximation of expected values of functional quantities on the solution of a stochastic differential equation (SDE), where we replace the Monte Carlo estimation with the evaluation of a deep neural network. Once the neural network training is done, the evaluation of the resulting approximating function is computationally ...
Gerstner, Thomas +3 more
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Quantum-accelerated multilevel Monte Carlo methods for stochastic differential equations in mathematical finance [PDF]
Quantum, 2021 Inspired by recent progress in quantum algorithms for ordinary and partial differential equations, we study quantum algorithms for stochastic differential equations (SDEs).
Dong An +5 more
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Complexity of Multilevel Monte Carlo Tau-Leaping [PDF]
SIAM Journal on Numerical Analysis, 2014 Tau-leaping is a popular discretization method for generating approximate paths of continuous time, discrete space, Markov chains, notably for biochemical reaction systems. To compute expected values in this context, an appropriate multilevel Monte Carlo form of tau-leaping has been shown to improve efficiency dramatically.
Anderson, David F. +2 more
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Open Mathematics, 2022 Davie’s exact coupling technique for stochastic differential equations may be used to enhance the convergence of the multilevel Monte Carlo (MC) methodology.
Alnafisah Yousef
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Multilevel Monte Carlo methods [PDF]
Acta Numerica, 2013 Monte Carlo methods are a very general and useful approach for the estimation of expectations arising from stochastic simulation. However, they can be computationally expensive, particularly when the cost of generating individual stochastic samples is very high, as in the case of stochastic PDEs.
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Jurnal Penelitian dan Evaluasi Pendidikan, 2017 Studi ini menggunakan simulasi Monte Carlo dilakukan untuk melihat pengaruh ukuran sampel dan intraclass correlation coefficients (ICC) terhadap bias estimasi parameter multilevel latent variable modeling.
Muhammad Dwirifqi Kharisma Putra +3 more
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On Dynamic Parallelization of Multilevel Monte Carlo Algorithm
Cybernetics and Information Technologies, 2020 MultiLevel Monte Carlo (MLMC) attracts great interest for numerical simulations of Stochastic Partial Differential Equations (SPDEs), due to its superiority over the standard Monte Carlo (MC) approach.
Shegunov Nikolay, Iliev Oleg
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A Multilevel Monte Carlo Method for Performing Time-Variant Reliability Analysis
IEEE Access, 2021 Even though a great number of methods have been developed for time-variant reliability analysis (TRA), crude Monte Carlo simulation (MCS) is still widely used alone or combined with other methods to enhance the efficiency and accuracy of TRA.
Jian Wang +3 more
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MULTILEVEL QUASI-MONTE CARLO FOR INTERVAL ANALYSIS
International Journal for Uncertainty Quantification, 2022 sponsorship: The authors would like to acknowledge the financial support of the Research Foundation-Flanders in the framework of the PhD fellowship strategic basic research (No. 1SD2421N) of Robin R.P. Callens and the postdoctoral grant (No. 12P359N) of Matthias G.R. Faes. Matthias G.R.
Callens, Robin +2 more
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