33 citations · 183 across the 19 of their papers we have counts for
3 papers · 1 filter
Asymptotic Preserving numerical schemes for multiscale parabolic problems
Nicolas Crouseilles, Mohammed Lemou, Gilles Vilmart
We consider a class of multiscale parabolic problems with diffusion coefficients oscillating in space at a possibly small scale . Numerical homogenization methods are…
Fast Langevin based algorithm for MCMC in high dimensions
Alain Durmus, Gareth O. Roberts, Gilles Vilmart +1
We introduce new Gaussian proposals to improve the efficiency of the standard Hastings-Metropolis algorithm in Markov chain Monte Carlo (MCMC) methods, used for the sampling from a…
High-order integrator for sampling the invariant distribution of a class of parabolic SPDEs with additive space-time noise
Charles-Edouard Bréhier, Gilles Vilmart
We introduce a time-integrator to sample with high order of accuracy the invariant distribution for a class of semilinear SPDEs driven by an additive space-time noise. Combined wit…