most citedA Low-rank Control Variate for Multilevel Monte Carlo Simulation of High-dimensional Uncertain Systems

54 citations · 54 across the 1 of their papers we have counts for

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stat.CO2016★ 54 cited

A Low-rank Control Variate for Multilevel Monte Carlo Simulation of High-dimensional Uncertain Systems

Hillary Fairbanks, Alireza Doostan, Christian Ketelsen +1

Multilevel Monte Carlo (MLMC) is a recently proposed variation of Monte Carlo (MC) simulation that achieves variance reduction by simulating the governing equations on a series of…