74 citations · 84 across the 7 of their papers we have counts for
3 papers · 1 filter
A filtered multilevel Monte Carlo method for estimating the expectation of cell-centered discretized random fields
Jérémy Briant, Paul Mycek, Mayeul Destouches +5
In this paper, we investigate the use of multilevel Monte Carlo (MLMC) methods for estimating the expectation of discretized random fields. Specifically, we consider a setting in w…
Multilevel Surrogate-based Control Variates
Mohamed Reda El Amri, Paul Mycek, Sophie Ricci +1
Monte Carlo (MC) sampling is a popular method for estimating the statistics (e.g. expectation and variance) of a random variable. Its slow convergence has led to the emergence of a…
Multivariate extensions of the Multilevel Best Linear Unbiased Estimator for ensemble-variational data assimilation
Mayeul Destouches, Paul Mycek, Selime Gürol
Multilevel estimators aim at reducing the variance of Monte Carlo statistical estimators, by combining samples generated with simulators of different costs and accuracies. In parti…