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...
| 主要な著者: | , , , |
|---|---|
| フォーマット: | Journal article |
| 出版事項: |
Springer
2015
|