Related papers: Multi-Level Hybrid Monte Carlo / Deterministic Met…
We propose and investigate a new multi-level Monte Carlo scheme for numerical solutions of the kinetic Boltzmann equation for neutral species in edge plasmas. In particular, this method explicitly exploits a key structural property of…
Numerical methods for solving the ideal magnetohydrodynamic (MHD) equations in more than one space dimension must either confront the challenge of controlling errors in the discrete divergence of the magnetic field, or else be faced with…
We have coded a Boltzmann solver based on a finite difference scheme (S_N method) aiming at calculations of neutrino transport in type II supernovae. Close comparison between the Boltzmann solver and a Monte Carlo transport code has been…
Single-site Markov Chain Monte Carlo (MCMC) is a variant of MCMC in which a single coordinate in the state space is modified in each step. Structured relational models are a good candidate for this style of inference. In the single-site…
Operator learning is a rapidly growing field that aims to approximate nonlinear operators related to partial differential equations (PDEs) using neural operators. These rely on discretization of input and output functions and are, usually,…
We present an analysis of multilevel Monte Carlo techniques for the forward problem of uncertainty quantification for the radiative transport equation, when the coefficients ({\em cross-sections}) are heterogenous random fields. To do this,…
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…
Traditional Monte Carlo methods for particle transport utilize source iteration to express the solution, the flux density, of the transport equation as a Neumann series. Our contribution is to show that the particle paths simulated within…
General relativistic radiation hydrodynamics simulations are necessary to accurately model a number of astrophysical systems involving black holes and neutron stars. Photon transport plays a crucial role in radiatively dominated accretion…
We propose a Multilevel Monte-Carlo (MLMC) method for computing entropy measure valued solutions of hyperbolic conservation laws. Sharp bounds for the narrow convergence of MLMC for the entropy measure valued solutions are proposed. An…
We address the approximation of functionals depending on a system of particles, described by stochastic differential equations (SDEs), in the mean-field limit when the number of particles approaches infinity. This problem is equivalent to…
For multiscale gas flows, kinetic-continuum hybrid method is usually used to balance the computational accuracy and efficiency. However, the kinetic-continuum coupling is not straightforward since the coupled methods are based on different…
We present a Multi-Index Quasi-Monte Carlo method for the solution of elliptic partial differential equations with random coefficients. By combining the multi-index sampling idea with randomly shifted rank-1 lattice rules, the algorithm…
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…
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…
Multilevel Monte Carlo (MLMC) reduces the total computational cost of financial option pricing by combining SDE approximations with multiple resolutions. This paper explores a further avenue for reducing cost and improving power efficiency…
Bayesian inverse problems arise in various scientific and engineering domains, and solving them can be computationally demanding. This is especially the case for problems governed by partial differential equations, where the repeated…
We describe a hybrid Direct Simulation Monte Carlo (DSMC) code for simultaneously solving the collisional Boltzmann equation for gas and the collisionless Boltzmann equation for stars and dark matter for problems important to galaxy…
In this article we consider the smoothing problem for hidden Markov models (HMM). Given a hidden Markov chain $\{X_n\}_{n\geq 0}$ and observations $\{Y_n\}_{n\geq 0}$, our objective is to compute…
General elliptic equations with spatially discontinuous diffusion coefficients may be used as a simplified model for subsurface flow in heterogeneous or fractured porous media. In such a model, data sparsity and measurement errors are often…