Multilevel Monte Carlo Simulation of the Eddy Current Problem With Random Parameters
Computational Engineering, Finance, and Science
2017-09-26 v1
Abstract
The multilevel Monte Carlo method is applied to an academic example in the field of electromagnetism. The method exhibits a reduced variance by assigning the samples to multiple models with a varying spatial resolution. For the given example it is found that the main costs of the method are spent on the coarsest level.
Cite
@article{arxiv.1705.08173,
title = {Multilevel Monte Carlo Simulation of the Eddy Current Problem With Random Parameters},
author = {Armin Galetzka and Zeger Bontinck and Ulrich Römer and Sebastian Schöps},
journal= {arXiv preprint arXiv:1705.08173},
year = {2017}
}
Comments
Applied Computational Electromagnetics Society Symposium - Italy (ACES), 2017 International, http://ieeexplore.ieee.org/document/7916062/