Monte Carlo method and sensitivity estimations

Monte Carlo method and sensitivity estimations

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 ad...

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Veröffentlicht in:Journal of quantitative spectroscopy & radiative transfer 2002-12, Vol.75 (5), p.529-538
Hauptverfasser: de Lataillade, A, Blanco, S, Clergent, Y, Dufresne, J.L, El Hafi, M, Fournier, R
Format: Artikel
Sprache:eng
Schlagworte:
Engineering Sciences
Monte Carlo
Sensitivity analysis
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Zusammenfassung: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.
ISSN:0022-4073
1879-1352
DOI:10.1016/S0022-4073(02)00027-4