Quasi-Monte Carlo based uncertainty analysis: Sampling efficiency and error estimation in engineering applications
Tianfeng Hou, Dirk Nuyens, Staf Roels, Hans Janßen
Abstract
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Tianfeng Hou, Dirk Nuyens, Staf Roels, Hans Janßen
Abstract
Open-access reader
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Key concepts: Sobol sequence, Monte Carlo method, Quasi-Monte Carlo method, Monte Carlo integration, Latin hypercube sampling, Hybrid Monte Carlo, Monte Carlo method in statistical physics, Propagation of uncertainty