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Title: A multilevel approach towards unbiased sampling of random elliptic partial differential equations
Abstract Partial differential equations are powerful tools for used to characterizing various physical systems. In practice, measurement errors are often present and probability models are employed to account for such uncertainties. In this paper we present a Monte Carlo scheme that yields unbiased estimators for expectations of random elliptic partial differential equations. This algorithm combines a multilevel Monte Carlo method (Giles (2008)) and a randomization scheme proposed by Rhee and Glynn (2012), (2013). Furthermore, to obtain an estimator with both finite variance and finite expected computational cost, we employ higher-order approximations.  more » « less
Award ID(s):
1712657 1633360 1826540
PAR ID:
10096839
Author(s) / Creator(s):
; ;
Date Published:
Journal Name:
Advances in Applied Probability
Volume:
50
Issue:
4
ISSN:
0001-8678
Page Range / eLocation ID:
1007 to 1031
Format(s):
Medium: X
Sponsoring Org:
National Science Foundation
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