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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…
Multi-fidelity (MF) methods are gaining popularity for enhancing surrogate modeling and design optimization by incorporating data from various low-fidelity (LF) models. While most existing MF methods assume a fixed dataset, adaptive…
Robust controllers that stabilize dynamical systems even under disturbances and noise are often formulated as solutions of nonsmooth, nonconvex optimization problems. While methods such as gradient sampling can handle the nonconvexity and…
Multifidelity Monte Carlo methods often rely on a preprocessing phase consisting of standard Monte Carlo sampling to estimate correlation coefficients between models of different fidelity to determine the weights and number of samples for…
Multilevel Monte Carlo (MLMC) has become an important methodology in applied mathematics for reducing the computational cost of weak approximations. For many problems, it is well-known that strong pairwise coupling of numerical solutions in…
Computations of incompressible flows with velocity boundary conditions require solution of a Poisson equation for pressure with all Neumann boundary conditions. Discretization of such a Poisson equation results in a rank-deficient matrix of…
We demonstrate the implementation of a hybrid OpenMP and MPI parallelization of a conservative spectral method for the Boltzmann equation originally developed by Gamba and Tharkabhushaman. We perform a scaling analysis to demonstrate that…
Lattice Boltzmann schemes are efficient numerical methods to solve a broad range of problems under the form of conservation laws. However, they suffer from a chronic lack of clear theoretical foundations. In particular, the consistency…
Quasi-periodic solutions with multiple base frequencies exhibit the feature of $2\pi$-periodicity with respect to each of the hyper-time variables. However, it remains a challenge work, due to the lack of effective solution methods, to…
Computational tools for characterizing electromagnetic scattering from objects with uncertain shapes are needed in various applications ranging from remote sensing at microwave frequencies to Raman spectroscopy at optical frequencies.…
In this paper we show that standard implementations of fluctuating Lattice Boltzmann methods do not obey Galilean invariance at a fundamental level. In trying to remedy this we are led to a novel kind of multi-relaxation time lattice…
Spurious velocities arising from the imperfect offset of the undesired term at the discrete level are frequently observed in numerical simulations of equilibrium multiphase flow systems using the lattice Boltzmann equation (LBE) method. To…
We formulate and test a hybrid fluid-Monte Carlo scheme for the treatment of elastic collisions in gases and plasmas. While our primary focus and demonstrations of applicability are for moderately collisional plasmas, as described by the…
Estimating probability of failure in aerospace systems is a critical requirement for flight certification and qualification. Failure probability estimation involves resolving tails of probability distribution, and Monte Carlo sampling…
This article is concerned with the multilevel Monte Carlo (MLMC) methods for approximating expectations of some functions of the solution to the Heston 3/2-model from mathematical finance, which takes values in $(0, \infty)$ and possesses…
Lattice Boltzmann schemes rely on the enlargement of the size of the target problem in order to solve PDEs in a highly parallelizable and efficient kinetic-like fashion, split into a collision and a stream phase. This structure, despite the…
This paper presents a new method for the solution of multiscale stochastic differential equations at the diffusive time scale. In contrast to averaging-based methods, e.g., the heterogeneous multiscale method (HMM) or the equation-free…
Model predictive control (MPC) is a powerful control method that handles dynamical systems with constraints. However, solving MPC iteratively in real time, i.e., implicit MPC, remains a computational challenge. To address this, common…
Kinetic equations model distributions of particles in position-velocity phase space. Often, one is interested in studying the long-time behavior of particles in high-collisional regimes in which an approximate (advection)-diffusion model…
We consider the application of multilevel Monte Carlo methods to elliptic PDEs with random coefficients. We focus on models of the random coefficient that lack uniform ellipticity and boundedness with respect to the random parameter, and…