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Multilevel Monte Carlo metamodeling
2013
2013 Winter Simulations Conference (WSC)
Multilevel Monte Carlo (MLMC) methods have been used by the information-based complexity community in order to improve the computational efficiency of parametric integration. We extend this approach by relaxing the assumptions on differentiability of the simulation output. Relaxing the assumption on the differentiability of the simulation output makes the MLMC method more widely applicable to stochastic simulation metamodeling problems in industrial engineering. The proposed scheme uses a
doi:10.1109/wsc.2013.6721446
dblp:conf/wsc/RosenbaumS13
fatcat:g6duz6shivh73khxpjihha3w2q