Publications de Sebastian Krumscheid

MATHICSE Technical Report : Multilevel Monte Carlo approximation of functions

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 ...

MATHICSE2017

MATHICSE Technical Report : Quantifying uncertain system outputs via the multilevel Monte Carlo method – Part I: Central moment estimation

Fabio Nobile, Sebastian Krumscheid, Michele Pisaroni

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 ...

MATHICSE2017

Data-driven coarse graining in action: Modeling and prediction of complex systems

Sebastian Krumscheid, Grigorios A. Pavliotis

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) ...

Amer Physical Soc2015

Analysis of stochastic gradient methods for PDE-constrained optimal Control Problems with uncertain parameters

Fabio Nobile, Sebastian Krumscheid, Matthieu Claude Martin

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 ...

...available as Mathicse-Report nr 04.20180

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