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

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

Résumé

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.

langue originale	Anglais
Pages (de - à)	529-538
Nombre de pages	10
journal	Journal of Quantitative Spectroscopy and Radiative Transfer
Volume	75
Numéro de publication	5
Les DOIs	https://doi.org/10.1016/S0022-4073(02)00027-4
état	Publié - 1 déc. 2002

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10.1016/S0022-4073(02)00027-4

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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.",

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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

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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

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