Multi-index Monte Carlo and PDEs with random coefficients

Speaker: 

Michael Feischl

Affiliation: 

UNSW, Sydney.

Date: 

Tue, 21/11/2017 - 11:05am

Venue: 

OMB-149, Old Main Building, UNSW

Abstract: 

We present the idea of multi-index Monte Carlo methods in the frame of  PDEs with random coefficients. We show error estimates and prove that the multi-index approach can be more efficient than the multi-level approach. We give examples which connect the theory with fast random field generation by use of H-matrices.

School Seminar Series: