A low-rank control variate for multilevel Monte Carlo simulation of high-dimensional uncertain systems

Hillary R. Fairbanks, Alireza Doostan, Christian Ketelsen, Gianluca Iaccarino. A low-rank control variate for multilevel Monte Carlo simulation of high-dimensional uncertain systems. J. Comput. Physics, 341:121-139, 2017. [doi]

Authors

Hillary R. Fairbanks

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Alireza Doostan

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Christian Ketelsen

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Gianluca Iaccarino

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