Optimization of mesh hierarchies in multilevel Monte Carlo samplers

Optimization of mesh hierarchies in multilevel Monte Carlo samplers

We perform a general optimization of the parameters in the multilevel Monte Carlo (MLMC) discretization hierarchy based on uniform discretization methods with general approximation orders and computational costs. We optimize hierarchies with geometric and non-geometric sequences of mesh sizes and sh...

書誌詳細
主要な著者:	Haji-Ali, A, Nobile, F, von Schwerin, E, Tempone, R
フォーマット:	Journal article
出版事項:	Springer 2015

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