On the use of variance reducing multipliers in Monte Carlo computations of a global sensitivity index

DOI10.1016/S0010-4655(98)00156-8zbMath1018.65002OpenAlexW1980526929MaRDI QIDQ1613798

Yu. L. Levitan, Ilya M. Sobol'

Publication date: 2 September 2002

Published in: Computer Physics Communications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0010-4655(98)00156-8

zbMATH Keywords

Monte Carlo methodvariance reductionquasi-Monte Carlosensitivity index

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

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Cites Work

• A variance reducing multiplier for Monte Carlo integrations
• INTEGRATION WITH QUASIRANDOM SEQUENCES: NUMERICAL EXPERIENCE
• Weighted Uniform Sampling — a Monte Carlo Technique for Reducing Variance
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