Variance reduction method based on sensitivity derivatives. II.

DOI10.1016/J.APNUM.2012.07.010zbMath1302.65008OpenAlexW2066359134MaRDI QIDQ2448372

Yanyan Li

Publication date: 30 April 2014

Published in: Applied Numerical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.apnum.2012.07.010

zbMATH Keywords

Monte Carlo methodKorteweg-de Vries equationvariance reductionuncertainty quantificationsensitivity derivatives

Mathematics Subject Classification ID

Monte Carlo methods (65C05) KdV equations (Korteweg-de Vries equations) (35Q53) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Probabilistic methods, particle methods, etc. for initial value and initial-boundary value problems involving PDEs (65M75)

Related Items (1)

Accelerating Monte Carlo estimation with derivatives of high-level finite element models

Uses Software

• Matlab

Cites Work

• An efficient Monte Carlo method for optimal control problems with uncertainty
• A variance reduction method based on sensitivity derivatives
• An efficient sampling method for stochastic inverse problems
• Spectral Methods in MATLAB
• The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
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