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. Technical Report, Aerospace Computational Design Laboratory TR-15-2, 2015.
Run the file main.m to generate example plots.
Further references to multifidelity methods that use similar techniques are:
-
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.
-
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.
-
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.