Quasi-Monte Carlo and Multilevel Monte Carlo Methods for Computing Posterior Expectations in Elliptic Inverse Problems
نویسندگان
چکیده
منابع مشابه
Quasi-Monte Carlo and Multilevel Monte Carlo Methods for Computing Posterior Expectations in Elliptic Inverse Problems∗
We are interested in computing the expectation of a functional of a PDE solution under a Bayesian posterior distribution. Using Bayes’s rule, we reduce the problem to estimating the ratio of two related prior expectations. For a model elliptic problem, we provide a full convergence and complexity analysis of the ratio estimator in the case where Monte Carlo, quasi-Monte Carlo, or multilevel Mon...
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ژورنال
عنوان ژورنال: SIAM/ASA Journal on Uncertainty Quantification
سال: 2017
ISSN: 2166-2525
DOI: 10.1137/16m1061692