Journal article
Multilevel quasi Monte Carlo methods for elliptic PDEs with random field coefficients via fast white noise sampling
- Abstract:
-
When solving partial differential equations (PDEs) with random fields as coefficients, the efficient sampling of random field realizations can be challenging. In this paper we focus on the fast sampling of Gaussian fields using quasi-random points in a finite element and multilevel quasi Monte Carlo (MLQMC) setting. Our method uses the stochastic PDE (SPDE) approach of Lindgren et al. combined with a new fast algorithm for white noise sampling which is tailored to (ML)QMC. We express white no...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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Authors
Funding
+ Engineering & Physical Sciences Research Council
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Grant:
EP/H05183X/1
MA/3630057
EP/E031455/1
Bibliographic Details
- Publisher:
- Society for Industrial and Applied Mathematics Publisher's website
- Journal:
- SIAM Journal on Scientific Computing Journal website
- Volume:
- 43
- Issue:
- 4
- Pages:
- A2840–A2868
- Publication date:
- 2021-08-09
- Acceptance date:
- 2021-06-01
- DOI:
- EISSN:
-
1095-7197
- ISSN:
-
1064-8275
Item Description
- Language:
- English
- Keywords:
- Pubs id:
-
1180279
- Local pid:
- pubs:1180279
- Deposit date:
- 2021-06-03
Terms of use
- Copyright holder:
- Society for Industrial and Applied Mathematics
- Copyright date:
- 2021
- Rights statement:
- © 2021, Society for Industrial and Applied Mathematics.
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