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As the size of engineered systems grows, problems in reliability theory can become computationally challenging, often due to the combinatorial growth in the cut sets. In this paper we demonstrate how Multilevel Monte Carlo (MLMC) - a…
We develop a novel Monte Carlo strategy for the simulation of the Boltzmann-BGK model with both low-collisional and high-collisional regimes present. The presented solution to maintain accuracy in low-collisional regimes and remove…
In this work, we consider the problem of estimating the probability distribution, the quantile or the conditional expectation above the quantile, the so called conditional-value-at-risk, of output quantities of complex random differential…
Multiresolution provides a fundamental tool based on the wavelet theory to build adaptive numerical schemes for Partial Differential Equations and time-adaptive meshes, allowing for error control. We have introduced this strategy before to…
Ensemble Kalman methods solve problems in domains such as filtering and inverse problems with interacting particles that evolve over time. For computationally expensive problems, the cost of attaining a high accuracy quickly becomes…
We propose a novel $hp$-multilevel Monte Carlo method for the quantification of uncertainties in the compressible Navier-Stokes equations, using the Discontinuous Galerkin method as deterministic solver. The multilevel approach exploits…
Mathematical modeling and simulation of complex physical systems based on partial differential equations (PDEs) have been widely used in engineering and industrial applications. To enable reliable predictions, it is crucial yet challenging…
In this paper, we extend a recently introduced multi-fidelity control variate for the uncertainty quantification of the Boltzmann equation to the case of kinetic models arising in the study of multiagent systems. For these phenomena, where…
Uncertainty Quantification through Markov Chain Monte Carlo (MCMC) can be prohibitively expensive for target probability densities with expensive likelihood functions, for instance when the evaluation it involves solving a Partial…
We present an adaptive multilevel Monte Carlo (AMLMC) algorithm for approximating deterministic, real-valued, bounded linear functionals that depend on the solution of a linear elliptic PDE with a lognormal diffusivity coefficient and…
Lattice Boltzmann Models (LBM) and Phase Field Models (PFM) are two of the most widespread approaches for the numerical study of multicomponent fluid systems. Both methods have been successfully employed by several authors but, despite…
We present a novel multilevel Monte Carlo approach for estimating quantities of interest for stochastic partial differential equations (SPDEs). Drawing inspiration from [Giles and Szpruch: Antithetic multilevel Monte Carlo estimation for…
This article reviews the application of advanced Monte Carlo techniques in the context of Multilevel Monte Carlo (MLMC). MLMC is a strategy employed to compute expectations which can be biased in some sense, for instance, by using the…
An original spectral study of the compressible hybrid lattice Boltzmann method (HLBM) on standard lattice is proposed. In this framework, the mass and momentum equations are addressed using the lattice Boltzmann method (LBM), while finite…
We discuss hybrid atomistic-continuum methods for multiscale hydrodynamic applications. Both dense fluid and dilute gas formulations are considered. The choice of coupling method and its relation to the fluid physics is discussed. The…
The anisotropic Cahn-Hilliard equation is often used to model the formation of faceted pyramids on nanoscale crystal surfaces. In comparison to the isotropic Cahn-Hilliard model, the nonlinear terms associated with strong anisotropic…
Because of their robustness, efficiency and non-intrusiveness, Monte Carlo methods are probably the most popular approach in uncertainty quantification to computing expected values of quantities of interest (QoIs). Multilevel Monte Carlo…
We use the Multi Level Monte Carlo method to estimate uncertainties in a Henry-like salt water intrusion problem with a fracture. The flow is induced by the variation of the density of the fluid phase, which depends on the mass fraction of…
We propose a hybrid deterministic and stochastic approach to achieve extended time scales in atomistic simulations that combines the strengths of molecular dynamics (MD) and Monte Carlo (MC) simulations in an easy-to-implement way. The…
The construction of efficient methods for uncertainty quantification in kinetic equations represents a challenge due to the high dimensionality of the models: often the computational costs involved become prohibitive. On the other hand,…