كتاب
A fully parallelized and budgeted multi-level Monte Carlo method and the application to acoustic waves
| العنوان: | A fully parallelized and budgeted multi-level Monte Carlo method and the application to acoustic waves |
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| المؤلفون: | Baumgarten, Niklas, Krumscheid, Sebastian, Wieners, Christian |
| المصدر: | ISSN: 2365-662X. |
| بيانات النشر: | Karlsruher Institut für Technologie |
| سنة النشر: | 2023 |
| المجموعة: | KITopen (Karlsruhe Institute of Technologie) |
| مصطلحات موضوعية: | Uncertainty quantification, high performance computing, multi-level Monte Carlo method, Knapsack problem, dynamic programming, parallelization, wave propagation, ddc:510, Mathematics, info:eu-repo/classification/ddc/510 |
| الوصف: | We present a novel variant of the multi-level Monte Carlo method that effectively utilizes a reserved computational budget on a high-performance computing system to minimize the mean squared error. Our approach combines concepts of the continuation multi-level Monte Carlo method with dynamic programming techniques following Bellman’s optimality principle, and a new parallelization strategy based on a single distributed data structure. Additionally, we establish a theoretical bound on the error reduction on a parallel computing cluster and provide empirical evidence that the proposed method adheres to this bound. We implement, test, and benchmark the approach on computationally demanding problems, focusing on its application to acoustic wave propagation in high-dimensional random media. |
| نوع الوثيقة: | book report |
| وصف الملف: | application/pdf |
| اللغة: | English |
| العلاقة: | CRC 1173 Preprint; info:eu-repo/semantics/altIdentifier/issn/2365-662X; https://publikationen.bibliothek.kit.edu/1000161083Test; https://publikationen.bibliothek.kit.edu/1000161083/151086936Test; https://doi.org/10.5445/IR/1000161083Test |
| DOI: | 10.5445/IR/1000161083 |
| الإتاحة: | https://doi.org/10.5445/IR/1000161083Test https://publikationen.bibliothek.kit.edu/1000161083Test https://publikationen.bibliothek.kit.edu/1000161083/151086936Test |
| حقوق: | KITopen License, https://publikationen.bibliothek.kit.edu/kitopen-lizenzTest ; info:eu-repo/semantics/openAccess |
| رقم الانضمام: | edsbas.2B01E2F3 |
| قاعدة البيانات: | BASE |
| DOI: | 10.5445/IR/1000161083 |
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