Monte Carlo gradient estimation in high dimensions

DOI10.1002/NME.2687MaRDI QIDQ3549835zbMATH OpenOpenAlexFDO

Authors Edoardo Patelli, H. J. Pradlwarter

Publication date 29 March 2010

Published in International Journal for Numerical Methods in Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/nme.2687

zbMATH Keywords

high dimensionsMonte Carlo simulationoptimization techniquesgradient estimation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical optimization and variational techniques (65K10)

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Cites work

• scientific article; zbMATH DE number 1243473 (Why is no real title available?)
• scientific article; zbMATH DE number 627771 (Why is no real title available?)
• A Simplex Method for Function Minimization
• Computational methods in optimization considering uncertainties - An overview
• Making best use of model evaluations to compute sensitivity indices
• Relative importance of uncertain structural parameters. I: Algorithm
• The Convergence of a Class of Double-rank Minimization Algorithms

Cited in

(11)

• Monte Carlo gradient estimation in machine learning
• Derivative-based global sensitivity measures: general links with Sobol' indices and numerical tests
• Efficient Monte Carlo for high excursions of Gaussian random fields
• Global sensitivity of structural variability by random sampling
• Gradient estimation with simultaneous perturbation and compressive sensing
• On performance potentials and conditional Monte Carlo for gradient estimation for Markov chains
• Monte Carlo co-ordinate ascent variational inference
• Secant update version of quasi-Newton PSB with weighted multisecant equations
• Population Monte Carlo algorithm in high dimensions
• Efficient Yield Optimization with Limited Gradient Information
• Reliability sensitivity estimation of nonlinear structural systems under stochastic excitation: a simulation-based approach

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