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Multilevel Quasi-Monte Carlo methods for lognormal diffusion problems.

Frances Y. KuoRobert ScheichlChristoph SchwabIan H. SloanElisabeth Ullmann
Published in: Math. Comput. (2017)
Keyphrases
  • monte carlo methods
  • monte carlo
  • anisotropic diffusion
  • search space
  • simulated annealing
  • dynamic programming
  • higher order