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Continuation Multi-level Monte Carlo

  • Michele PisaroniEmail author
  • Fabio Nobile
  • Penelope Leyland
Chapter
Part of the Notes on Numerical Fluid Mechanics and Multidisciplinary Design book series (NNFM, volume 140)

Abstract

In this chapter, we describe the Continuation Multi-Level Monte Carlo (C-MLMC) algorithm proposed in Collier et al. [1] and apply it to efficiently propagate operating and geometric uncertainties in internal and external aerodynamic simulations. The key idea of MLMC, presented in the previous chapter, is that one can draw MC samples simultaneously and independently on several approximations of the problem under investigation on a hierarchy of nested computational grids (levels). In the continuation algorithm (C-MLMC) the parameters that prescribe the number of levels and simulations per level are computed on the fly to further reduce the overall computational cost.

Keywords

Multi-level Monte Carlo Sampling 

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Copyright information

© Springer International Publishing AG, part of Springer Nature 2019

Authors and Affiliations

  • Michele Pisaroni
    • 1
    Email author
  • Fabio Nobile
    • 1
  • Penelope Leyland
    • 1
  1. 1.Scientific Computing and Uncertainty QuantificationEcole Polytechnique Fédérale de LausanneLausanneSwitzerland

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