Multilevel Monte Carlo Methods for Elliptic Problems with Applications to Radioactive Waste Disposal

Lead Research Organisation: University of Oxford
Department Name: Mathematical Institute

Abstract

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Publications

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Giles M (2016) Monte Carlo and Quasi-Monte Carlo Methods

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Giles M (2018) Random Bit Quadrature and Approximation of Distributions on Hilbert Spaces in Foundations of Computational Mathematics

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Giles M (2018) Decision-making under uncertainty: using MLMC for efficient estimation of EVPPI in Statistics and Computing

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Katsiolides G (2018) Multilevel Monte Carlo and improved timestepping methods in atmospheric dispersion modelling in Journal of Computational Physics

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Giles M (2018) Multilevel Estimation of Expected Exit Times and Other Functionals of Stopped Diffusions in SIAM/ASA Journal on Uncertainty Quantification

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Giles M (2018) Monte Carlo and Quasi-Monte Carlo Methods

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Croci M (2018) Efficient White Noise Sampling and Coupling for Multilevel Monte Carlo with Nonnested Meshes in SIAM/ASA Journal on Uncertainty Quantification

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Fang W (2018) Monte Carlo and Quasi-Monte Carlo Methods

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Giles M (2019) Multilevel Nested Simulation for Efficient Risk Estimation in SIAM/ASA Journal on Uncertainty Quantification

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Fang W (2019) Multilevel Monte Carlo method for ergodic SDEs without contractivity in Journal of Mathematical Analysis and Applications

 
Description This project has demonstrated that the multilevel Monte Carlo method provides major improvements in the computational efficiency of Monte Carlo methods applied to the simulation of nuclear waste repositories.
Exploitation Route There is major potential for its use in the simulation of nuclear waste repositories, and also oil reservoir simulation.
Sectors Education,Energy
URL http://people.maths.ox.ac.uk/gilesm/mlmc.html
 
Description The mathematical approach we have developed has not yet been adopted by industry, although it is now being widely used within academia and both government and industry research labs.
First Year Of Impact 2011
Sector Aerospace, Defence and Marine,Education,Electronics,Financial Services, and Management Consultancy