Multilevel Monte Carlo Methods for Elliptic Problems with Applications to Radioactive Waste Disposal
Lead Research Organisation:
University of Oxford
Department Name: Mathematical Institute
Abstract
Abstracts are not currently available in GtR for all funded research. This is normally because the abstract was not required at the time of proposal submission, but may be because it included sensitive information such as personal details.
People |
ORCID iD |
Mike Giles (Principal Investigator) |
Publications
Teckentrup A
(2013)
Further analysis of multilevel Monte Carlo methods for elliptic PDEs with random coefficients
in Numerische Mathematik
Croci M
(2021)
Multilevel Quasi Monte Carlo Methods for Elliptic PDEs with Random Field Coefficients via Fast White Noise Sampling
in SIAM Journal on Scientific Computing
Hironaka T
(2020)
Multilevel Monte Carlo Estimation of the Expected Value of Sample Information
in SIAM/ASA Journal on Uncertainty Quantification
Vidal-Codina F
(2016)
An Empirical Interpolation and Model-Variance Reduction Method for Computing Statistical Outputs of Parametrized Stochastic Partial Differential Equations
in SIAM/ASA Journal on Uncertainty Quantification
Giles M
(2019)
Multilevel Nested Simulation for Efficient Risk Estimation
in SIAM/ASA Journal on Uncertainty Quantification
Croci M
(2018)
Efficient White Noise Sampling and Coupling for Multilevel Monte Carlo with Nonnested Meshes
in SIAM/ASA Journal on Uncertainty Quantification
Giles M
(2018)
Multilevel Estimation of Expected Exit Times and Other Functionals of Stopped Diffusions
in SIAM/ASA Journal on Uncertainty Quantification
Giles M
(2015)
Multilevel Monte Carlo Approximation of Distribution Functions and Densities
in SIAM/ASA Journal on Uncertainty Quantification
Giles M
(2018)
Decision-making under uncertainty: using MLMC for efficient estimation of EVPPI
in Statistics and Computing
Fang W
(2020)
Adaptive Euler-Maruyama method for SDEs with nonglobally Lipschitz drift
in The Annals of Applied Probability
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 |