Uncertainty Quantification and Quasi-Monte Carlo
News
Dates
| Lectures | tba | tba | Dr. Vesa Kaarnioja |
| Exercises | tba | tba | Dr. Vesa Kaarnioja |
General Information
Description
High-dimensional numerical integration plays a central role in contemporary study of uncertainty quantification. The analysis of how uncertainties associated with material parameters or the measurement configuration propagate within mathematical models leads to challenging high-dimensional integration problems, fueling the need to develop efficient numerical methods for this task.
Modern quasi-Monte Carlo (QMC) methods are based on tailoring specially designed cubature rules for high-dimensional integration problems. By leveraging the smoothness and anisotropy of an integrand, it is possible to achieve faster-than-Monte Carlo convergence rates. QMC methods have become a popular tool for solving partial differential equations (PDEs) involving random coefficients, a central topic within the field of uncertainty quantification.
This course provides an introduction to uncertainty quantification and how QMC methods can be applied to solve problems arising within this field.
Target audience
The course is intended for mathematics students at the Master's level and above.
Prerequisites
Multivariable calculus, linear algebra, basic probability theory, and Python (or some other programming language).
Completing the course
To be eligible to sit for the final exam, a student must earn a minimum of cumulative 60% points from the weekly assignments. The course evaluation is based on the final exam.
Registration
- Please register to the course via Campus Management (CM), then you will be automatically registered in MyCampus/Whiteboard as well. Please note the deadlines indicated there. For further information and in case of any problems, please consult the Campus Management's Help for Students.
- Non-FU students should register to the course in KVV (Whiteboard).
Lecture notes
Lecture notes will be published here after each week's lecture.
Exercise sheets
Weekly exercises will be published here after each lecture
Contact
| Dr. Vesa Kaarnioja | vesa.kaarnioja@fu-berlin.de | Arnimallee 6, room 212 Consulting hours: By appointment |