Multilevel Monte Carlo Method for PDEs with Random Input under Hierarchical Meshes

来源 :第八届工业与应用数学国际大会 | 被引量 : 0次 | 上传用户：ldkkkkk54

【摘要】

：

　　The order of convergence of the Monte Carlo method is 1/2 which means that we need quadruple samples to decrease the error in half in the numerical simulati

【作者】

：

KimMyoungnyoun;SimImbo;

【机构】

：

National Inst.for Mathematical Sci.

【出处】

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第八届工业与应用数学国际大会

【发表日期】

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2015年期

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论文部分内容阅读

　　The order of convergence of the Monte Carlo method is 1/2 which means that we need quadruple samples to decrease the error in half in the numerical simulation.Multilevel Monte Carlo methods reach the same order of error by spending less computational time than the Monte Carlo method.

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