Multilevel Monte Carlo Covariance Estimation for the Computation of Sobol' Indices
نویسندگان
چکیده
منابع مشابه
Multilevel Monte Carlo Methods
We study Monte Carlo approximations to high dimensional parameter dependent integrals. We survey the multilevel variance reduction technique introduced by the author in [4] and present extensions and new developments of it. The tools needed for the convergence analysis of vector-valued Monte Carlo methods are discussed, as well. Applications to stochastic solution of integral equations are give...
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ژورنال
عنوان ژورنال: SIAM/ASA Journal on Uncertainty Quantification
سال: 2019
ISSN: 2166-2525
DOI: 10.1137/18m1216389