Variance reduction method based on sensitivity derivatives. II.

DOI10.1016/J.APNUM.2012.07.010MaRDI QIDQ2448372zbMATH OpenOpenAlexFDO

Authors 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

Korteweg-de Vries equationMonte Carlo methodsensitivity derivativesuncertainty quantificationvariance reduction

Mathematics Subject Classification ID

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) Monte Carlo methods (65C05) 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)

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Cites work

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• An efficient Monte Carlo method for optimal control problems with uncertainty
• An efficient sampling method for stochastic inverse problems
• Efficient collocational approach for parametric uncertainty analysis
• scientific article; zbMATH DE number 3852087 (Why is no real title available?)
• scientific article; zbMATH DE number 53679 (Why is no real title available?)
• scientific article; zbMATH DE number 1476458 (Why is no real title available?)
• scientific article; zbMATH DE number 854710 (Why is no real title available?)
• Numerical optimization of radiated engine noise with uncertain wavenumbers
• Numerical recipes. The art of scientific computing.
• Spectral Methods in MATLAB
• The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations

Cited in

(4)

• Accelerating Monte Carlo estimation with derivatives of high-level finite element models
• A variance reduction method based on sensitivity derivatives
• A systematic study of efficient sampling methods to quantify uncertainty in crack propagation and the Burgers equation
• Optimization of a Monte Carlo variance reduction method based on sensitivity derivatives

Describes a project that uses

Uses Software

• Matlab

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