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20102023
most citedA non-adapted sparse approximation of PDEs with stochastic inputs

460 citations · 1.9k across the 48 of their papers we have counts for

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Showing 2016 · stat.COShow all

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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…