Polynomial Chaos as a Control Variate Method

DOI10.1137/20M1336515MaRDI QIDQ4997403

Giray Ökten, Jamie Fox

Publication date: 29 June 2021

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo methodspolynomial chaos expansionSobol' sensitivity indices

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05)

Related Items (1)

Collaborative and adaptive Bayesian optimization for bounding variances and probabilities under hybrid uncertainties

Cites Work

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• Performance Evaluation of Generalized Polynomial Chaos
• Better estimation of small sobol' sensitivity indices
• The Wiener--Askey Polynomial Chaos for Stochastic Differential Equations
• Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates

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