Multi fidelity Monte Carlo (MFMC)
This code implements the Multifidelity Monte Carlo method as described in:
- Peherstorfer, B., Willcox, K., and Gunzburger, M. Optimal model management for multifidelity Monte Carlo estimation. SIAM Journal on Scientific Computing, 38(5):A3163-A3194, 2016.
Run the file main.m to generate example plots. See https://cims.nyu.edu/~pehersto/
Multi-fidelity papers
Further references to multifidelity methods that use similar techniques are:
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Ng, L. and Willcox, K. Multifidelity Approaches for Optimization Under Uncertainty, International Journal for Numerical Methods in Engineering, Volume 100 Issue 10, pp. 746-772, 2014.
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Ng, L. and Willcox, K. Monte Carlo Information-Reuse Approach to Aircraft Conceptual Design Optimization Under Uncertainty, AIAA Journal of Aircraft, Vol. 53, No. 2, pp. 427-438, 2016.
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Peherstorfer, B., Cui, T., Marzouk, Y. and Willcox, K., Multifidelity importance sampling, Computer Methods in Applied Mechanics and Engineering , Vol. 300, pp. 490-509, 2016.