Multi-scale control variate methods for uncertainty quantification in kinetic equations

Giacomo Dimarco, Lorenzo Pareschi

Research output: Contribution to journalArticlepeer-review

24 Scopus citations

Abstract

Kinetic equations play a major rule in modeling large systems of interacting particles. Uncertainties may be due to various reasons, like lack of knowledge on the microscopic interaction details or incomplete informations at the boundaries. These uncertainties, however, contribute to the curse of dimensionality and the development of efficient numerical methods is a challenge. In this paper we consider the construction of novel multi-scale methods for such problems which, thanks to a control variate approach, are capable to reduce the variance of standard Monte Carlo techniques.

Original languageEnglish
Pages (from-to)63-89
Number of pages27
JournalJournal of Computational Physics
Volume388
DOIs
StatePublished - 1 Jul 2019
Externally publishedYes

Keywords

  • Control variate
  • Fluid-dynamic limit
  • Kinetic equations
  • Monte Carlo methods
  • Multi-fidelity methods
  • Multi-scale methods
  • Uncertainty quantification

Fingerprint

Dive into the research topics of 'Multi-scale control variate methods for uncertainty quantification in kinetic equations'. Together they form a unique fingerprint.

Cite this