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Many applications across sciences and technologies require a careful quantification of non-deterministic effects to a system output, for example when evaluating the system's reliability or when gearing it towards more robust operation conditions. At the he ...
In this work we introduce and analyze a novel multilevel Monte Carlo (MLMC) estimator for the accurate approximation of central moments of system outputs affected by uncertainties. Central moments play a central role in many disciplines to characterize a r ...
We consider the numerical approximation of a risk-averse optimal control problem for an elliptic partial differential equation (PDE) with random coefficients. Specifically, the control function is a deterministic, distributed forcing term that minimizes th ...
In many physical, technological, social, and economic applications, one is commonly faced with the task of estimating statistical properties, such as mean first passage times of a temporal continuous process, from empirical data (experimental observations) ...