Monte Carlo method and sensitivity estimations

A. De Lataillade; S. Blanco; Y. Clergent; J. L. Dufresne; M. El Hafi; R. Fournier

doi:10.1016/S0022-4073(02)00027-4

Monte Carlo method and sensitivity estimations

A. De Lataillade
, S. Blanco
, Y. Clergent
, J. L. Dufresne
, M. El Hafi
, R. Fournier

Université de Toulouse
CERFACS
Université Paul Sabatier

Research output: Contribution to journal › Article › peer-review

Abstract

It is shown that, starting from any existing Monte Carlo algorithm for estimation of a physical quantity A, it is possible to implement a simple additional procedure that simultaneously estimates the sensitivity of A to any problem parameter. The corresponding supplementary cost is very low as no additional random sampling is required. The principle is presented on a formal basis and simple radiative transfer examples are used for illustration.

Original language	English
Pages (from-to)	529-538
Number of pages	10
Journal	Journal of Quantitative Spectroscopy and Radiative Transfer
Volume	75
Issue number	5
DOIs	https://doi.org/10.1016/S0022-4073(02)00027-4
Publication status	Published - 1 Dec 2002

Keywords

Monte Carlo
Sensitivity analysis

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10.1016/S0022-4073(02)00027-4

Cite this

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title = "Monte Carlo method and sensitivity estimations",

abstract = "It is shown that, starting from any existing Monte Carlo algorithm for estimation of a physical quantity A, it is possible to implement a simple additional procedure that simultaneously estimates the sensitivity of A to any problem parameter. The corresponding supplementary cost is very low as no additional random sampling is required. The principle is presented on a formal basis and simple radiative transfer examples are used for illustration.",

keywords = "Monte Carlo, Sensitivity analysis",

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T1 - Monte Carlo method and sensitivity estimations

AU - De Lataillade, A.

AU - Blanco, S.

AU - Clergent, Y.

AU - Dufresne, J. L.

AU - El Hafi, M.

AU - Fournier, R.

PY - 2002/12/1

Y1 - 2002/12/1

N2 - It is shown that, starting from any existing Monte Carlo algorithm for estimation of a physical quantity A, it is possible to implement a simple additional procedure that simultaneously estimates the sensitivity of A to any problem parameter. The corresponding supplementary cost is very low as no additional random sampling is required. The principle is presented on a formal basis and simple radiative transfer examples are used for illustration.

AB - It is shown that, starting from any existing Monte Carlo algorithm for estimation of a physical quantity A, it is possible to implement a simple additional procedure that simultaneously estimates the sensitivity of A to any problem parameter. The corresponding supplementary cost is very low as no additional random sampling is required. The principle is presented on a formal basis and simple radiative transfer examples are used for illustration.

KW - Monte Carlo

KW - Sensitivity analysis

UR - https://www.scopus.com/pages/publications/0036887355

U2 - 10.1016/S0022-4073(02)00027-4

DO - 10.1016/S0022-4073(02)00027-4

M3 - Article

AN - SCOPUS:0036887355

SN - 0022-4073

VL - 75

SP - 529

EP - 538

JO - Journal of Quantitative Spectroscopy and Radiative Transfer

JF - Journal of Quantitative Spectroscopy and Radiative Transfer

IS - 5

ER -

Monte Carlo method and sensitivity estimations

Abstract

Keywords

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