Monte Carlo Methods for Uncertainty Quantification

These lectures and practicals were prepared for the Summer School on Computational Aspects of Uncertainty Quantification held at KU Leuven on May 27-31, 2013.

Lecture notes:
MATLAB codes from lectures:
Supporting MATLAB functions:
Multilevel Monte Carlo MATLAB codes for practical 2:
Link to Dirk Nuyens' webpage for QMC point generators

Instructions for practicals:
Model solution for first practical, and three supporting routines from Dirk Nuyens:

These three lectures were part of an ERCOFTAC two-day course on Mathematical Methods and Tools in Uncertainty Management and Quantification held at ONERA in Paris on October 24-25, 2013.

Lecture notes:

For further reading on multilevel Monte Carlo research: