A low-rank control variate for multilevel Monte Carlo simulation of high-dimensional uncertain systems

Author:

Fairbanks Hillary R.,Doostan Alireza,Ketelsen Christian,Iaccarino Gianluca

Funder

United States Department of Energy

NSF

U.S. Department of Energy Office of Science, Office of Advanced Scientific Computing Research

Publisher

Elsevier BV

Subject

Computer Science Applications,Physics and Astronomy (miscellaneous),Applied Mathematics,Computational Mathematics,Modeling and Simulation,Numerical Analysis

Reference37 articles.

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5. L. Mathelin, M. Hussaini, A stochastic collocation algorithm for uncertainty analysis, Tech. Rep. NAS 1.26:212153; NASA Langley Research Center, 2003, NASA/CR-2003-212153.

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