Goal-Oriented Adaptive Finite Element Multilevel Monte Carlo with Convergence Rates

Abstract

We present an adaptive multilevel Monte Carlo (AMLMC) algorithm This AMLMC algorithm is built on the results of the weak convergence rates in

Authors 4

1. Joakim Beck

   King Abdullah University of Science and Technology

   Affiliation as printed

   Computer, Electrical and Mathematical Sciences and Engineering King Abdullah University of Science and Technology 4700

   KAUST, Thuwal 23955-6900, Kingdom of Saudi Arabia

2. Yongchao Liu

   King Abdullah University of Science and Technology

   Affiliation as printed

   Computer, Electrical and Mathematical Sciences and Engineering King Abdullah University of Science and Technology 4700

   KAUST, Thuwal 23955-6900, Kingdom of Saudi Arabia

3. Erik von Schwerin

   King Abdullah University of Science and Technology

   Affiliation as printed

   Computer, Electrical and Mathematical Sciences and Engineering King Abdullah University of Science and Technology 4700

   KAUST, Thuwal 23955-6900, Kingdom of Saudi Arabia

4. Raul F. Tempone Aachen

   King Abdullah University of Science and Technology · RWTH Aachen University

   Affiliation as printed

   Alexander von Humboldt Professor in Mathematics for Uncertainty Quantification RWTH Aachen University, 52062 Aachen, Germany

   Computer, Electrical and Mathematical Sciences and Engineering King Abdullah University of Science and Technology 4700

   KAUST, Thuwal 23955-6900, Kingdom of Saudi Arabia