statistics colloquium
Event Type:
Colloquium
Speaker:
Dr. Daniel Appelo
Event Date:
Friday, April 29, 2016 -
3:30pm to 4:30pm
Location:
SMLC 120
Audience:
General PublicFaculty/StaffStudentsAlumni/Friends
Sponsor/s:
Math and Stat Department
Event Description:
Title:
Multi Level Monte Carlo Methods - Overview and Extensions
Abstract:
The Multi Level Monte Carlo (MLMC) method* has emerged as one of the most popular
methods for quantifying uncertainties in a wide range of applications. In this talk
I will describe the ideas behind the basic version of MLMC and show that it can be
used to compute expected values with dramatically reduced complexity relative to
standard MC. I will also talk about how the ideas from MLMC can be generalized and
describe one such generalization, "The Multi Order MC Method” by Motamed and Appelo
for UQ for wave propagation problems.
* See for example:
M.B. Giles. "Multi-level Monte Carlo path simulation". Operations Research,
56(3):607-617, 2008.
S. Heinrich. "Multilevel Monte Carlo Methods", volume 2179 of Lecture Notes in
Computer Science, pages 58–67. Springer-Verlag, 2001.
