Optimization of a Monte Carlo variance reduction method based on sensitivity derivatives

DOI10.1016/J.APNUM.2013.06.005MaRDI QIDQ465089zbMATH OpenOpenAlexFDO

Authors Yaning Liu, M. Yousuff Hussaini, Giray Ökten

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

zbMATH Keywords

Monte Carlo samplinguncertainty quantificationMonte Carlo methodsnumerical experimentsBurgers equationKorteweg-de Vries equationrandomized quasi-Monte Carlo methodssensitivity derivativesvariance reduction techniques

Mathematics Subject Classification ID

Monte Carlo methods (65C05) KdV equations (Korteweg-de Vries equations) (35Q53)

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Cited in

(8)

• Accelerating Monte Carlo estimation with derivatives of high-level finite element models
• An efficient Monte Carlo method for optimal control problems with uncertainty
• Parallel optimized sampling for stochastic equations
• A variance reduction method based on sensitivity derivatives
• Exploitation of sensitivity derivatives via randomized quasi-Monte Carlo methods
• A Monte Carlo Method for Sensitivity Analysis and Parametric Optimization of Nonlinear Stochastic Systems
• Quantifying the uncertainty in a hyperelastic soft tissue model with stochastic parameters
• Variance reduction method based on sensitivity derivatives. II.

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