Michael Feischl
Abstract:
We present the idea of multi-index Monte Carlo methods in the frame of PDEs with random coefficients. We show error estimates and prove that the multi-index approach can be more efficient than the multi-level approach. We give examples which connect the theory with fast random field generation by use of H-matrices.
Speaker
Research Area
Affiliation
UNSW, Sydney.
Date
Tue, 21/11/2017 - 1:05pm
Venue
OMB-G32, Old Main Building, UNSW