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5. Quasi-Monte Carlo and Multilevel Monte Carlo Methods for Computing Posterior Expectations in Ellipti

Quasi-Monte Carlo and Multilevel Monte Carlo Methods for Computing Posterior Expectations in Ellipti

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：xiazibin

【摘 要】

：

　　We present an approach(based on Bayes' formula and ratio estimates)to apply QMC and multilevel MC methods for the computation of posterior expectations of f

【作 者】

：

ScheichlRobert[1]StuartAndrew[2]TeckentrupAretha[2] 

【机 构】

：

Univ.of Bath

【出 处】

：

第八届工业与应用数学国际大会

【发表日期】

：

2015年期

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论文部分内容阅读

　　We present an approach(based on Bayes' formula and ratio estimates)to apply QMC and multilevel MC methods for the computation of posterior expectations of functionals of the solution of an elliptic PDE,typically used as a model for uncertainty quantification in subsurface flow.

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