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A multilevel Monte Carlo (MLMC) method for quantifying model-form uncertainties associated with the Reynolds-Averaged Navier-Stokes (RANS) simulations is presented. Two, high-dimensional, stochastic extensions of the RANS equations are considered to demonstrate the applicability of the MLMC method. The first approach is based on global perturbation of the baseline eddy viscosity field using a lognormal random field. A more general second extension is considered based on the work of [Xiao et al.(2017)], where the entire Reynolds Stress Tensor (RST) is perturbed while maintaining realizability. For two fundamental flows, we show that the MLMC method based on a hierarchy of meshes is asymptotically faster than plain Monte Carlo. Additionally, we demonstrate that for some flows an optimal multilevel estimator can be obtained for which the cost scales with the same order as a single CFD solve on the finest grid level.
In this work we study the thermodynamic properties of ultrathin ferromagnetic dots using Monte Carlo simulations. We investigate the vortex density as a function of the temperature and the vortex structure in monolayer dots with perpendicular anisotr
Inspired by recent progress in quantum algorithms for ordinary and partial differential equations, we study quantum algorithms for stochastic differential equations (SDEs). Firstly we provide a quantum algorithm that gives a quadratic speed-up for mu
Random batch algorithms are constructed for quantum Monte Carlo simulations. The main objective is to alleviate the computational cost associated with the calculations of two-body interactions, including the pairwise interactions in the potential ene
This article reviews the application of advanced Monte Carlo techniques in the context of Multilevel Monte Carlo (MLMC). MLMC is a strategy employed to compute expectations which can be biased in some sense, for instance, by using the discretization
Using the Ehrenfest urn model we illustrate the subtleties of error estimation in Monte Carlo simulations. We discuss how the smooth results of correlated sampling in Markov chains can fool ones perception of the accuracy of the data, and show (via n