3 papers
math.NA2019
Multilevel Sequential Importance Sampling for Rare Event Estimation
Fabian Wagner, Jonas Latz, Iason Papaioannou +1
The estimation of the probability of rare events is an important task in reliability and risk assessment. We consider failure events that are expressed in terms of a limit state fu…
stat.CO2019
Multilevel adaptive sparse Leja approximations for Bayesian inverse problems
Ionut-Gabriel Farcas, Jonas Latz, Elisabeth Ullmann +2
Deterministic interpolation and quadrature methods are often unsuitable to address Bayesian inverse problems depending on computationally expensive forward mathematical models. Whi…
math.OC2016
Multilevel Monte Carlo analysis for optimal control of elliptic PDEs with random coefficients
Ahmad Ahmad Ali, Elisabeth Ullmann, Michael Hinze
This work is motivated by the need to study the impact of data uncertainties and material imperfections on the solution to optimal control problems constrained by partial different…