Related papers: A multi-modes Monte Carlo finite element method fo…
We present a multiscale finite element method for a diffusion problem with rough and high contrast coefficients. The construction of the multiscale finite element space is based on the localized orthogonal decomposition methodology and it…
We review the basic outline of the highly successful diffusion Monte Carlo technique commonly used in contexts ranging from electronic structure calculations to rare event simulation and data assimilation, and propose a new class of…
We present a new antithetic multilevel Monte Carlo (MLMC) method for the estimation of expectations with respect to laws of diffusion processes that can be elliptic or hypo-elliptic. In particular, we consider the case where one has to…
We overview a series of recent works addressing numerical simulations of partial differential equations in the presence of some elements of randomness. The specific equations manipulated are linear elliptic, and arise in the context of…
We present a hybrid method for time-dependent particle transport problems that combines Monte Carlo (MC) estimation with deterministic solutions based on discrete ordinates. For spatial discretizations, the MC algorithm computes a piecewise…
Multilevel sampling methods, such as multilevel and multifidelity Monte Carlo, multilevel stochastic collocation, or delayed acceptance Markov chain Monte Carlo, have become standard uncertainty quantification (UQ) tools for a wide class of…
The work in this paper is four-fold. Firstly, we introduce an alternative approach to solve fractional ordinary differential equations as an expected value of a random time process. Using the latter, we present an interesting numerical…
We present a novel artificial diffusion method to circumvent the instabilities associated with the standard finite element approximation of convection-diffusion equations. Motivated by the micromorphic approach, we introduce an auxiliary…
We consider the initial/boundary value problem for a diffusion equation involving multiple time-fractional derivatives on a bounded convex polyhedral domain. We analyze a space semidiscrete scheme based on the standard Galerkin finite…
We provide a pedagogical introduction to the two main variants of real-space quantum Monte Carlo methods for electronic-structure calculations: variational Monte Carlo (VMC) and diffusion Monte Carlo (DMC). Assuming no prior knowledge on…
Sequential Monte Carlo methods, also known as particle methods, are a popular set of techniques for approximating high-dimensional probability distributions and their normalizing constants. These methods have found numerous applications in…
In this paper, we present a finite difference heterogeneous multiscale method for the Landau-Lifshitz equation with a highly oscillatory diffusion coefficient. The approach combines a higher order discretization and artificial damping in…
A high-order finite element method is proposed to solve the nonlinear convection-diffusion equation on a time-varying domain whose boundary is implicitly driven by the solution of the equation. The method is semi-implicit in the sense that…
In this work, we present a novel error analysis for recovering a spatially dependent diffusion coefficient in an elliptic or parabolic problem. It is based on the standard regularized output least-squares formulation with an $H^1(\Omega)$…
In theory, diffusion curves promise complex color gradations for infinite-resolution vector graphics. In practice, existing realizations suffer from poor scaling, discretization artifacts, or insufficient support for rich boundary…
We consider the application of multilevel Monte Carlo methods to steady state Darcy flow in a random porous medium, described mathematically by elliptic partial differential equations with random coefficients. The levels in the multilevel…
Nonlinear time fractional partial differential equations are widely used in modeling and simulations. In many applications, there are high contrast changes in media properties. For solving these problems, one often uses coarse spatial grid…
We consider the computational efficiency of Monte Carlo (MC) and Multilevel Monte Carlo (MLMC) methods applied to partial differential equations with random coefficients. These arise, for example, in groundwater flow modelling, where a…
In this article we consider the approximation of expectations w.r.t. probability distributions associated to the solution of partial differential equations (PDEs); this scenario appears routinely in Bayesian inverse problems. In practice,…
We study the numerical approximation of advection-diffusion equations with highly oscillatory coefficients and possibly dominant advection terms by means of the Multiscale Finite Element Method. The latter method is a now classical, finite…