MONTE CARLO VARIANCE REDUCTION METHODS WITH APPLICATIONS IN STRUCTURAL RELIABILITY ANALYSIS

DOI10.1017/s0004972723000874OpenAlexW4386329006MaRDI QIDQ6090203

Unnamed Author

Publication date: 14 November 2023

Published in: Bulletin of the Australian Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0004972723000874

zbMATH Keywords

stochastic approximationMonte Carlo methodsvariance reductionadaptive simulationstructural reliability analysis

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Monte Carlo methods (65C05) Stochastic approximation (62L20) Stochastic learning and adaptive control (93E35) Random number generation in numerical analysis (65C10) Complexity and performance of numerical algorithms (65Y20) Numerical integration (65D30)

Cites Work

• Adaptive importance sampling and control variates
• Optimizing Adaptive Importance Sampling by Stochastic Approximation
• Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata
• Batching Adaptive Variance Reduction

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