Optimization of mesh hierarchies in multilevel Monte Carlo samplers
نویسندگان
چکیده
منابع مشابه
Optimization of mesh hierarchies in multilevel Monte Carlo samplers
We perform a general optimization of the parameters in the Multilevel Monte Carlo (MLMC) discretization hierarchy based on uniform discretization methods with general approximation orders and computational costs. Moreover, we discuss extensions to non-uniform discretizations based on a priori refinements and the effect of imposing constraints on the largest and/or smallest mesh sizes. We optimi...
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ژورنال
عنوان ژورنال: Stochastics and Partial Differential Equations Analysis and Computations
سال: 2015
ISSN: 2194-0401,2194-041X
DOI: 10.1007/s40072-015-0049-7