79 citations · 258 across the 61 of their papers we have counts for
3 papers · 2 filters
Approximation and sampling of multivariate probability distributions in the tensor train decomposition
Sergey Dolgov, Karim Anaya-Izquierdo, Colin Fox +1
General multivariate distributions are notoriously expensive to sample from, particularly the high-dimensional posterior distributions in PDE-constrained inverse problems. This pap…
Analysis of quasi-Monte Carlo methods for elliptic eigenvalue problems with stochastic coefficients
Alexander D. Gilbert, Ivan G. Graham, Frances Y. Kuo +2
We consider the forward problem of uncertainty quantification for the generalised Dirichlet eigenvalue problem for a coercive second order partial differential operator with random…
Continuous Level Monte Carlo and Sample-Adaptive Model Hierarchies
Gianluca Detommaso, Tim Dodwell, Rob Scheichl
In this paper, we present a generalisation of the Multilevel Monte Carlo (MLMC) method to a setting where the level parameter is a continuous variable. This Continuous Level Monte…