196 citations · 677 across the 9 of their papers we have counts for
3 papers · 1 filter
Grouped approximate control variate estimators
Alex A. Gorodetsky, John D. Jakeman, Michael S. Eldred
This paper analyzes the approximate control variate (ACV) approach to multifidelity uncertainty quantification in the case where weighted estimators are combined to form the compon…
Multilevel Monte Carlo estimators for derivative-free optimization under uncertainty
Friedrich Menhorn, Gianluca Geraci, D. Thomas Seidl +3
Optimization is a key tool for scientific and engineering applications, however, in the presence of models affected by uncertainty, the optimization formulation needs to be extende…
A Generalized Approximate Control Variate Framework for Multifidelity Uncertainty Quantification
Alex A. Gorodetsky, Gianluca Geraci, Mike Eldred +1
We describe and analyze a variance reduction approach for Monte Carlo (MC) sampling that accelerates the estimation of statistics of computationally expensive simulation models usi…