University of Birmingham > Talks@bham > Applied Mathematics Seminar Series > Multilevel Markov Chain Monte Carlo with Applications in Subsurface Flow

Multilevel Markov Chain Monte Carlo with Applications in Subsurface Flow

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  • UserRobert Scheichl (Bath)
  • ClockMonday 24 February 2014, 14:00-15:00
  • HouseWatson LRA.

If you have a question about this talk, please contact Alexandra Tzella.

We address the prohibitively large cost of Markov chain Monte Carlo for large-scale PDE applications with high dimensional parameter spaces. We propose a new multilevel Metropolis-Hastings algorithm, and give an abstract theorem on its cost. For a typical model problem in subsurface flow, we then provide a detailed analysis of the assumptions in the theorem and show gains of at least one order in the ε-cost over standard Metropolis-Hastings both theoretically and numerically.

This talk is part of the Applied Mathematics Seminar Series series.

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