Exploitation of sensitivity derivatives via randomized quasi-Monte Carlo methods
DOI10.1515/MCMA.2008.011zbMath1152.65007OpenAlexW2059874117MaRDI QIDQ3529870
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Publication date: 14 October 2008
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/mcma.2008.011
parallel computingquasi-Monte Carlo methodsensitivity derivativescomputational fluid dynamics, error estimates of the integrationscrambled sequences
Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05) Irregularities of distribution, discrepancy (11K38) Pseudo-random numbers; Monte Carlo methods (11K45)
Cites Work
- Scrambled net variance for integrals of smooth functions
- An efficient Monte Carlo method for optimal control problems with uncertainty
- \(I\)-binomial scrambling of digital nets and sequences
- Generating parallel quasirandom sequences via randomization
- Quasi-Random Sequences and Their Discrepancies
- A quasi-Monte Carlo Metropolis algorithm
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