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

DOI10.1016/j.apnum.2013.06.005zbMath1302.65013OpenAlexW2003077027MaRDI 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

zbMATH Keywords

numerical experimentsBurgers equationMonte Carlo methodsKorteweg-de Vries equationMonte Carlo samplinguncertainty quantificationrandomized 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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