Multilevel Monte Carlo methods for highly heterogeneous media

A.L. Teckentrup

Research output: Chapter or section in a book/report/conference proceedingChapter in a published conference proceeding

7 Citations (SciVal)


We discuss the application of multilevel Monte Carlo methods to elliptic partial differential equations with random coefficients. Such problems arise, for example, in uncertainty quantification in subsurface flow modeling. We give a brief review of recent advances in the numerical analysis of the multilevel algorithm under minimal assumptions on the random coefficient, and extend the analysis to cover also tensor-valued coefficients, as well as point evaluations. Our analysis includes as an example log-normal random coefficients, which are frequently used in applications.
Original languageEnglish
Title of host publicationProceedings of the 2012 Winter Simulation Conference (WSC)
ISBN (Print)9781467347792
Publication statusPublished - 2012
Event2012 Winter Simulation Conference, WSC 2012 - Berlin, Germany
Duration: 9 Dec 201212 Dec 2012


Conference2012 Winter Simulation Conference, WSC 2012


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