A Multifidelity Monte Carlo Method for Realistic Computational Budgets

Gruber, Anthony; Gunzburger, Max; Ju, Lili; Wang, Zhu

doi:10.1007/s10915-022-02051-y

A Multifidelity Monte Carlo Method for Realistic Computational Budgets

Journal Article · 22 November 2022 · Journal of Scientific Computing

DOI:https://doi.org/10.1007/s10915-022-02051-y· OSTI ID:2421512

^[1]; Gunzburger, Max; Ju, Lili; Wang, Zhu

OSTI

Not provided.

Research Organization:: Univ. of South Carolina, Columbia, SC (United States); Florida State Univ., Tallahassee, FL (United States); Univ. of Texas, Austin, TX (United States)

Sponsoring Organization:: USDOE Office of Science (SC)

DOE Contract Number:: SC0020270; SC0020418; SC0021077

OSTI ID:: 2421512

Journal Information:: Journal of Scientific Computing, Journal Name: Journal of Scientific Computing Journal Issue: 1 Vol. 94; ISSN 0885-7474

Publisher:: Springer

Country of Publication:: United States

Language:: English

References (18)

Array programming with NumPy Harris, Charles R.; Millman, K. Jarrod; van der Walt, Stéfan J. Nature, Vol. 585, Issue 7825 https://doi.org/10.1038/s41586-020-2649-2	journal	September 2020
A comparison of neural network architectures for data-driven reduced-order modeling Gruber, Anthony; Gunzburger, Max; Ju, Lili Computer Methods in Applied Mechanics and Engineering, Vol. 393 https://doi.org/10.1016/j.cma.2022.114764	journal	April 2022
Survey of Multifidelity Methods in Uncertainty Propagation, Inference, and Optimization Peherstorfer, Benjamin; Willcox, Karen; Gunzburger, Max SIAM Review, Vol. 60, Issue 3 https://doi.org/10.1137/16M1082469	journal	January 2018
Monte Carlo and discrete-ordinate simulations of irradiances in the coupled atmosphere-ocean system Gjerstad, Karl Idar; Stamnes, Jakob J.; Hamre, Børge Applied Optics, Vol. 42, Issue 15 https://doi.org/10.1364/AO.42.002609	journal	January 2003
Robust Bayesian Uncertainty Analysis of Climate System Properties Using Markov Chain Monte Carlo Methods Tomassini, Lorenzo; Reichert, Peter; Knutti, Reto Journal of Climate, Vol. 20, Issue 7 https://doi.org/10.1175/JCLI4064.1	journal	April 2007
A Stochastic Collocation Algorithm with Multifidelity Models Narayan, Akil; Gittelson, Claude; Xiu, Dongbin SIAM Journal on Scientific Computing, Vol. 36, Issue 2 https://doi.org/10.1137/130929461	journal	January 2014
Accelerating the estimation of collisionless energetic particle confinement statistics in stellarators using multifidelity Monte Carlo Law, Frederick; Cerfon, Antoine; Peherstorfer, Benjamin Nuclear Fusion, Vol. 62, Issue 7 https://doi.org/10.1088/1741-4326/ac4777	journal	May 2022
A transport-based multifidelity preconditioner for Markov chain Monte Carlo Peherstorfer, Benjamin; Marzouk, Youssef Advances in Computational Mathematics https://doi.org/10.1007/s10444-019-09711-y	journal	November 2019
Determining optimal multilevel Monte Carlo parameters with application to fault tolerance Pauli, Stefan; Arbenz, Peter Computers & Mathematics with Applications, Vol. 70, Issue 11 https://doi.org/10.1016/j.camwa.2015.07.011	journal	December 2015
Multilevel Monte Carlo Finite Volume Methods for Shallow Water Equations with Uncertain Topography in Multi-dimensions Mishra, S.; Schwab, Ch.; Šukys, J. SIAM Journal on Scientific Computing, Vol. 34, Issue 6 https://doi.org/10.1137/110857295	journal	January 2012
Multifidelity approaches for optimization under uncertainty: MULTIFIDELITY APPROACHES FOR OPTIMIZATION UNDER UNCERTAINTY Ng, Leo W. T.; Willcox, Karen E. International Journal for Numerical Methods in Engineering, Vol. 100, Issue 10 https://doi.org/10.1002/nme.4761	journal	September 2014
Data-driven low-fidelity models for multi-fidelity Monte Carlo sampling in plasma micro-turbulence analysis Konrad, Julia; Farcaş, Ionuţ-Gabriel; Peherstorfer, Benjamin Journal of Computational Physics, Vol. 451 https://doi.org/10.1016/j.jcp.2021.110898	journal	February 2022
Monte Carlo climate change forecasts with a global coupled ocean-atmosphere model Cubasch, U.; Santer, B. D.; Hellbach, A. Climate Dynamics, Vol. 10, Issue 1-2 https://doi.org/10.1007/BF00210333	journal	July 1994
Optimal Model Management for Multifidelity Monte Carlo Estimation Peherstorfer, Benjamin; Willcox, Karen; Gunzburger, Max SIAM Journal on Scientific Computing, Vol. 38, Issue 5 https://doi.org/10.1137/15M1046472	journal	January 2016
Multi-fidelity Monte Carlo for seismic risk assessment applications Patsialis, D.; Taflanidis, A. A. Structural Safety, Vol. 93 https://doi.org/10.1016/j.strusafe.2021.102129	journal	November 2021
Uncertainty quantification of satellite precipitation estimation and Monte Carlo assessment of the error propagation into hydrologic response Hong, Yang; Hsu, Kuo‐lin; Moradkhani, Hamid Water Resources Research, Vol. 42, Issue 8 https://doi.org/10.1029/2005WR004398	journal	August 2006
Convergence analysis of multifidelity Monte Carlo estimation Peherstorfer, Benjamin; Gunzburger, Max; Willcox, Karen Numerische Mathematik, Vol. 139, Issue 3 https://doi.org/10.1007/s00211-018-0945-7	journal	January 2018
A multifidelity method for a nonlocal diffusion model Khodabakhshi, Parisa; Willcox, Karen E.; Gunzburger, Max Applied Mathematics Letters, Vol. 121 https://doi.org/10.1016/j.aml.2021.107361	journal	November 2021

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