113 citations · 1k across the 84 of their papers we have counts for
Showing 2016 · math.NAShow all
3 papers · 2 filters
math.NA2016★ 1 cited
Multilevel and Multi-index Monte Carlo methods for the McKean-Vlasov equation
Abdul-Lateef Haji-Ali, Raul Tempone
We address the approximation of functionals depending on a system of particles, described by stochastic differential equations (SDEs), in the mean-field limit when the number of pa…
math.NA2016
Sparse approximation of multilinear problems with applications to kernel-based methods in UQ
Fabio Nobile, Raul Tempone, Soeren Wolfers
We provide a framework for the sparse approximation of multilinear problems and show that several problems in uncertainty quantification fit within this framework. In these problem…
math.NA2016★ 9 cited
Multilevel ensemble Kalman filtering for spatially extended models
Alexey Chernov, Haakon Hoel, Kody Law +2
This work embeds a multilevel Monte Carlo (MLMC) sampling strategy into the Monte Carlo step of the ensemble Kalman filter (EnKF), thereby yielding a multilevel ensemble Kalman fil…