Multilevel quasi Monte Carlo methods for elliptic PDEs with random field coefficients via fast white noise sampling

  title={Multilevel quasi Monte Carlo methods for elliptic PDEs with random field coefficients via fast white noise sampling},
  author={Matteo Croci and Michael B. Giles and Patrick E. Farrell},
When solving partial differential equations with random fields as coefficients the efficient sampling of random field realisations can be challenging. In this paper we focus on the fast sampling of Gaussian fields using quasi-random points in a finite element and multilevel quasi Monte Carlo (MLQMC) setting. Our method uses the SPDE approach combined with a new fast (ML)QMC algorithm for white noise sampling. We express white noise as a wavelet series expansion that we divide in two parts. The… 

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