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A dimension-adaptive multi-index Monte Carlo method applied to a model of a heat exchanger
Boekbijdrage - Boekhoofdstuk Conferentiebijdrage
We present an adaptive version of the Multi-Index Monte Carlo method, introduced by Haji-Ali, Nobile and Tempone (2016), for simulating PDEs with coefficients that are random fields. A classical technique for sampling from these coefficients is the Karhunen–Loeve expansion. Our adaptive algorithm is based on the adaptive algorithm used in sparse grid cubature as introduced by Gerstner and Griebel (2003), and automatically chooses the number of terms needed in this expansion, as well as the required spatial discretizations of the PDE model. We apply the method to a simplified model of a heat exchanger with random insulator material, where the stochastic characteristics are modeled as a lognormal random field, andwe show huge computational savings.
Boek: Monte Carlo and Quasi-Monte Carlo Methods
ISBN:978-3-319-91435-0
Jaar van publicatie:2017