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...

Полное описание

Библиографические подробности
Главные авторы:	Haji-Ali, A, Nobile, F, von Schwerin, E, Tempone, R
Формат:	Journal article
Опубликовано:	Springer 2015

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