Variance reduction method based on sensitivity derivatives. II.
DOI10.1016/J.APNUM.2012.07.010zbMath1302.65008OpenAlexW2066359134MaRDI QIDQ2448372
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
Monte Carlo methodKorteweg-de Vries equationvariance reductionuncertainty quantificationsensitivity derivatives
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)
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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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