83 citations · 225 across the 11 of their papers we have counts for
Showing 2017 · math.NAShow all
2 papers · 2 filters
math.NA2017
Combining sparse grids, multilevel MC and QMC for elliptic PDEs with random coefficients
Michael B. Giles, Frances Y. Kuo, Ian H. Sloan
Building on previous research which generalized multilevel Monte Carlo methods using either sparse grids or Quasi-Monte Carlo methods, this paper considers the combination of all t…
math.NA2017★ 32 cited
Decision-making under uncertainty: using MLMC for efficient estimation of EVPPI
Michael B. Giles, Takashi Goda
In this paper we develop a very efficient approach to the Monte Carlo estimation of the expected value of partial perfect information (EVPPI) that measures the average benefit of k…