TY - JOUR
T1 - Multi-scale control variate methods for uncertainty quantification in kinetic equations
AU - Dimarco, Giacomo
AU - Pareschi, Lorenzo
PY - 2019/7/1
Y1 - 2019/7/1
N2 - 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.
AB - 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.
U2 - 10.1016/j.jcp.2019.03.002
DO - 10.1016/j.jcp.2019.03.002
M3 - Article
SN - 0021-9991
VL - 388
SP - 63
EP - 89
JO - Journal of Computational Physics
JF - Journal of Computational Physics
ER -