Multilevel Monte Carlo methods for highly heterogeneous media

Aretha L. Teckentrup*

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

We discuss the application of multilevel Monte Carlo methods to elliptic partial differential equations with random coefficients. Such problems arise, for example, in uncertainty quantification in subsurface flow modeling. We give a brief review of recent advances in the numerical analysis of the multilevel algorithm under minimal assumptions on the random coefficient, and extend the analysis to cover also tensor-valued coefficients, as well as point evaluations. Our analysis includes as an example log-normal random coefficients, which are frequently used in applications.

Original languageEnglish
Title of host publicationProceedings - Winter Simulation Conference
DOIs
Publication statusPublished - 2012
Event2012 Winter Simulation Conference, WSC 2012 - Berlin, Germany
Duration: 9 Dec 201212 Dec 2012

Conference

Conference2012 Winter Simulation Conference, WSC 2012
CountryGermany
CityBerlin
Period9/12/1212/12/12

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