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

DOI10.1016/J.APNUM.2013.06.005zbMATH Open1302.65013OpenAlexW2003077027MaRDI QIDQ465089FDOQ465089

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

Recommendations

• A variance reduction method based on sensitivity derivatives
• Parallel optimized sampling for stochastic equations
• Variance reduction method based on sensitivity derivatives. II.
• An efficient Monte Carlo method for optimal control problems with uncertainty
• Variance reduction in Monte Carlo methods and optimization problems in \({\mathbb{R}}^ n\)

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)

Cited In (6)

• Accelerating Monte Carlo estimation with derivatives of high-level finite element models
• An efficient Monte Carlo method for optimal control problems with uncertainty
• 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

This page was built for publication: Optimization of a Monte Carlo variance reduction method based on sensitivity derivatives

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q465089)