3 papers
math.NA2025
A unified error analysis for randomized low-rank approximation with application to data assimilation
Alexandre Scotto Di Perrotolo, Youssef Diouane, Selime Gürol +1
Randomized algorithms have proven to perform well on a large class of numerical linear algebra problems. Their theoretical analysis is critical to provide guarantees on their behav…
math.NA2025
A filtered multilevel Monte Carlo method for estimating the expectation of cell-centered discretized random fields
Jérémy Briant, Paul Mycek, Mayeul Destouches +5
In this paper, we investigate the use of multilevel Monte Carlo (MLMC) methods for estimating the expectation of discretized random fields. Specifically, we consider a setting in w…
stat.ME2024
Multivariate extensions of the Multilevel Best Linear Unbiased Estimator for ensemble-variational data assimilation
Mayeul Destouches, Paul Mycek, Selime Gürol
Multilevel estimators aim at reducing the variance of Monte Carlo statistical estimators, by combining samples generated with simulators of different costs and accuracies. In parti…