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20102020
most citedA multilevel Monte Carlo method for asymptotic-preserving particle schemes in the diffusive limit

9 citations · 21 across the 9 of their papers we have counts for

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Showing 2017Show all

2 papers · 1 filter

math.OC2017

Robust Optimization of PDEs with Random Coefficients Using a Multilevel Monte Carlo Method

Andreas Van Barel, Stefan Vandewalle

This paper addresses optimization problems constrained by partial differential equations with uncertain coefficients. In particular, the robust control problem and the average cont…

math.NA2017

A Dimension-Adaptive Multi-Index Monte Carlo Method Applied to a Model of a Heat Exchanger

Pieterjan Robbe, Dirk Nuyens, Stefan Vandewalle

We present an adaptive version of the Multi-Index Monte Carlo method, introduced by Haji-Ali, Nobile and Tempone (2016), for simulating PDEs with coefficients that are random field…