Variance reduction in Monte Carlo computations using multi-dimensional Hermite polynomials

DOI10.1016/0021-9991(79)90150-5MaRDI QIDQ1141450zbMATH OpenOpenAlexFDO

Authors F. H. Maltz, Donald L. Hitzl

Publication date 1979

Published in Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0021-9991(79)90150-5

zbMATH Keywords

numerical resultsvariance reductionMonte Carlo integrationtruncated Fourier seriesMonte Carlo computer simulationscontrol variates technique

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Numerical quadrature and cubature formulas (65D32)

Cites work

• scientific article; zbMATH DE number 3247704 (Why is no real title available?)
• scientific article; zbMATH DE number 3196612 (Why is no real title available?)
• A short course in computational probability and statistics
• Hermite expansions in Monte-Carlo computation
• Random quadratures of improved accuracy
• Remarks on a Monte Carlo integration method
• The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals

Cited in

(13)

• Random vortex methods for the Navier-Stokes equation
• An analysis of polynomial chaos approximations for modeling single-fluid-phase flow in porous medium systems
• Uncertainty quantification in chemical systems
• A stochastic projection method for fluid flow. I: Basic formulation
• Unbiased multi-step estimators for the Monte Carlo evaluation of certain functional integrals
• Uncertainty propagation using Wiener-Haar expansions
• A stochastic projection method for fluid flow. II: Random process
• Unbiased Monte Carlo evaluation of certain functional integrals
• Adaptive estimation procedures for multi-parameter Monte Carlo computations
• Stochastic spectral methods for efficient Bayesian solution of inverse problems
• Bayesian updating via bootstrap filtering combined with data-driven polynomial chaos expansions: methodology and application to history matching for carbon dioxide storage in geological formations
• Application of arbitrary polynomial chaos (aPC) expansion for global sensitivity analysis of mineral dissolution and precipitation modeling under geologic carbon storage conditions
• Building blocks for computer vision with stochastic partial differential equations

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