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.
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.
For further reading on multilevel Monte Carlo research: