Taking place: Penn State University, 21-23 April 2021
Key references:
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K.A. Cliffe, M.B. Giles, R. Scheichl and A.L. Teckentrup, Multilevel Monte Carlo Methods and Applications to Elliptic PDEs with Random Coefficients, Comput. Visual. Sci. 14:3-15, 2011 [Preprint]
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J. Charrier, R. Scheichl and A.L. Teckentrup, Finite Element Error Analysis of Elliptic PDEs with Random Coefficients and its Application to Multilevel Monte Carlo Methods, SIAM J. Numer. Anal. 51:322-352, 2013 [Preprint]
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A.L. Teckentrup, R. Scheichl, M.B. Giles and E. Ullmann, Further Analysis of Multilevel Monte Carlo Methods for Elliptic PDEs with Random Coefficients, Numer. Math. 125:569-600, 2013 [Preprint]
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T.J. Dodwell, C. Ketelsen, R. Scheichl and A.L. Teckentrup, A Hierarchical Multilevel Markov Chain Monte Carlo Algorithm with Applications to Uncertainty Quantification in Subsurface Flow, SIAM/ASA J. Uncertain. Quantif. 3:1075-1108, 2015 [Preprint]
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T.J. Dodwell, C. Ketelsen, R. Scheichl and A.L. Teckentrup, Multilevel Markov Chain Monte Carlo, SIAM Review 61:509-545, 2019 [Preprint]