Optimization of a Monte Carlo variance reduction method based on sensitivity derivatives
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Publication:465089
DOI10.1016/j.apnum.2013.06.005zbMath1302.65013MaRDI QIDQ465089
J. Herrera, D. Rodríguez-Gómez
Publication date: 31 October 2014
Published in: Applied Numerical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.apnum.2013.06.005
numerical experiments; Burgers equation; Monte Carlo methods; Korteweg-de Vries equation; Monte Carlo sampling; uncertainty quantification; randomized quasi-Monte Carlo methods; sensitivity derivatives; variance reduction techniques