On the Exploitation of Sensitivity Derivatives for Improving Sampling Methods
نویسندگان
چکیده
Many application codes, such as finite-element structural analyses and computational fluid dynamics codes, are capable of producing many sensitivity derivatives at a small fraction of the cost of the underlying analysis. This paper describes a simple variance reduction method that exploits such inexpensive sensitivity derivatives to increase the accuracy of sampling methods. Three examples, including a finite-element structural analysis of an aircraft wing, are provided that illustrate an order of magnitude improvement in accuracy for both Monte Carlo and stratified sampling schemes.
منابع مشابه
Exploitation of Sensitivity Derivatives for Improving Sampling Methods
Many application codes, such as nite element structural analyses and computational uid dynamics codes, are capable of producing many sensitivity derivatives at a small fraction of the cost of the underlying analysis. A simple variance reduction method is described that exploits such inexpensive sensitivity derivatives to increase the accuracy of sampling methods. Five examples, including a ...
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