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...

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Bibliografische gegevens
Hoofdauteurs:	Haji-Ali, A, Nobile, F, von Schwerin, E, Tempone, R
Formaat:	Journal article
Gepubliceerd in:	Springer 2015

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