On the Exploitation of Sensitivity Derivatives for Improving Sampling Methods

نویسندگان

  • Yanzhao Cao
  • M. Yousuff Hussaini
  • Thomas A. Zang
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.

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Exploitation of Sensitivity Derivatives for Improving Sampling Methods

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تاریخ انتشار 2003