4 papers
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…
Preconditioners based on Voronoi quantizers of random variable coefficients for stochastic elliptic partial differential equations
Nicolas Venkovic, Paul Mycek, Olivier Le Maître
A preconditioning strategy is proposed for the iterative solve of large numbers of linear systems with parameter-dependent matrix and right-hand side which arise during the computa…
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…
Multilevel Surrogate-based Control Variates
Mohamed Reda El Amri, Paul Mycek, Sophie Ricci +1
Monte Carlo (MC) sampling is a popular method for estimating the statistics (e.g. expectation and variance) of a random variable. Its slow convergence has led to the emergence of a…