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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In this talk we address the problem of the prohibitively large computational cost of existing Markov chain Monte Carlo (MCMC) methods for large–scale applications with high dimensional parameter spaces, e.g. uncertainty quantification in porous media flow. We propose a new multilevel Metropolis-Hastings algorithm, and give an abstract, problem dependent theorem on the cost of the new multilevel...
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Article history: Received 16 October 2013 Received in revised form 20 May 2014 Accepted 22 May 2014 Available online 29 May 2014
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ژورنال
عنوان ژورنال: Operations Research
سال: 2017
ISSN: 0030-364X,1526-5463
DOI: 10.1287/opre.2017.1607