Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
We consider the numerical solution of elliptic partial differential equations with random coefficients. Such problems arise, for example, in uncertainty quantification for groundwater flow. We describe a novel variance reduction technique for the standard Monte Carlo method, called the multilevel Mo...
| Main Authors: | , , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2011
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