Multilevel Monte Carlo FEM and application for random obstacle problems

Speaker: 

Alexey Chernov

Affiliation: 

Hausdorff Center for Mathematics and Institute for Numerical Simulation, Bonn

Date: 

Fri, 22/03/2013 - 12:05pm to 12:30pm

Venue: 

RC-4082

Abstract: 

The Multilevel Monte Carlo Method is a recently established approach for uncertainty propagation for problems with random parameters. We present some new convergence estimates for MLMC and apply it to a class of random obstacle problems, prototypes of contact problems between deformable bodies. Numerical examples for the case of rough random obstacles complete the theoretical analysis.

School Seminar Series: