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...

Full beskrivning

Bibliografiska uppgifter
Huvudupphovsmän:	Haji-Ali, A, Nobile, F, von Schwerin, E, Tempone, R
Materialtyp:	Journal article
Publicerad:	Springer 2015

Liknande verk

Multilevel and Multi-index Monte Carlo methods for the McKean-Vlasov equation
av: Haji-Ali, A, et al.
Publicerad: (2017)

Multi-index Monte Carlo: when sparsity meets sampling
av: Haji-Ali, A, et al.
Publicerad: (2015)

Sequential Monte Carlo samplers
av: Del Moral, P, et al.
Publicerad: (2006)

Monte Carlo samplers for efficient network inference.
av: Zeliha Kilic, et al.
Publicerad: (2023-07-01)

Adaptive Hamiltonian and Riemann Manifold Monte Carlo Samplers
av: Wang, Z, et al.
Publicerad: (2013)

Interacting sequential Monte Carlo samplers for trans-dimensional simulation
av: Jasra, A, et al.
Publicerad: (2008)

Efficient white noise sampling and coupling for multilevel Monte Carlo with nonnested meshes
av: Croci, M, et al.
Publicerad: (2018)

Evolutionary Sequential Monte Carlo Samplers for Change-Point Models
av: Arnaud Dufays
Publicerad: (2016-03-01)

Stability of sequential Monte Carlo samplers via the Foster-Lyapunov condition
av: Jasra, A, et al.
Publicerad: (2008)

Stability of sequential Monte Carlo samplers via the Foster-Lyapunov condition
av: Jasra, A, et al.
Publicerad: (2008)

Multilevel Monte Carlo methods
av: Giles, M
Publicerad: (2015)

Mesh Optimization for Monte Carlo-Based Optical Tomography
av: Andrew Edmans, et al.
Publicerad: (2015-04-01)

Quantum self-learning Monte Carlo and quantum-inspired Fourier transform sampler
av: Katsuhiro Endo, et al.
Publicerad: (2020-12-01)

Multilevel Monte Carlo path simulation
av: Giles, M
Publicerad: (2008)

The computation of Greeks with multilevel Monte Carlo
av: Burgos, S
Publicerad: (2014)

Multilevel Monte Carlo for reliability theory
av: Aslett, L, et al.
Publicerad: (2017)

Multilevel Monte Carlo path simulation.
av: Giles, M
Publicerad: (2007)

Multilevel Monte Carlo for jump processes
av: Xia, Y
Publicerad: (2013)

Computation of electromagnetic fields scattered from objects with uncertain shapes using multilevel Monte Carlo method
av: Litvinenko, Alexander, et al.
Publicerad: (2020)

Supporting data for the paper "Efficient white noise sampling and coupling for multilevel Monte Carlo with non-nested meshes"
av: Croci, M, et al.
Publicerad: (2018)

Comparing two sequential Monte Carlo samplers for exact and approximate Bayesian inference on biological models
av: Daly, A, et al.
Publicerad: (2017)

Multilevel Monte Carlo for exponential Lévy models
av: Giles, M, et al.
Publicerad: (2017)

On Dynamic Parallelization of Multilevel Monte Carlo Algorithm
av: Shegunov Nikolay, et al.
Publicerad: (2020-12-01)

Performance of Hamiltonian Monte Carlo and No-U-Turn Sampler for estimating genetic parameters and breeding values
av: Motohide Nishio, et al.
Publicerad: (2019-12-01)

The bouncy particle sampler: A non-reversible rejection free Markov chain Monte Carlo method
av: Doucet, A, et al.
Publicerad: (2017)

Randomized Hamiltonian Monte Carlo as scaling limit of the bouncy particle sampler and dimension-free convergence rates
av: Deligiannidis, G, et al.
Publicerad: (2020)

Randomized Hamiltonian Monte Carlo as scaling limit of the bouncy particle sampler and dimension-free convergence rates
av: Deligiannidis, G, et al.
Publicerad: (2021)

A multilevel Monte Carlo estimator for matrix multiplication
av: Wu, Y, et al.
Publicerad: (2020)

Adaptive multilevel splitting for Monte Carlo particle transport
av: Louvin Henri, et al.
Publicerad: (2017-01-01)

Adaptive Multilevel Splitting for Monte Carlo particle transport
av: Louvin Henri, et al.
Publicerad: (2017-01-01)

Parameter estimation from aggregate observations: a Wasserstein distance-based sequential Monte Carlo sampler
av: Chen Cheng, et al.
Publicerad: (2023-08-01)

On the numerical performance of the weak multilevel Monte-Carlo method for the Heston Model
av: Azadeh Ghasemifard, et al.
Publicerad: (2024-07-01)

Multilevel multifidelity Monte Carlo methods for assessing uncertainty in coastal flooding
av: M. C. A. Clare, et al.
Publicerad: (2022-08-01)

Monte Carlo design of optimal wire mesh collimator for breast tumor imaging process.
av: Mohd Saad, Wira Hidayat, et al.
Publicerad: (2011)

Multilevel Monte Carlo and improved timestepping methods in atmospheric dispersion modelling
av: Katsiolides, G, et al.
Publicerad: (2017)

Multilevel Monte Carlo methods and applications to elliptic PDEs with random coefficients
av: Cliffe, K, et al.
Publicerad: (2011)

Improved multilevel monte carlo convergence using the milstein scheme
av: Giles, M
Publicerad: (2008)

Improved multilevel Monte Carlo convergence using the Milstein scheme.
av: Giles, M
Publicerad: (2007)

Non-nested adaptive timesteps in multilevel Monte Carlo computations
av: Giles, M, et al.
Publicerad: (2016)

Multilevel Monte Carlo methods for uncertainty quantification in brain simulations
av: Croci, M
Publicerad: (2020)