On the use of variance reducing multipliers in Monte Carlo computations of a global sensitivity index

I. M. Sobol; Yu. L. Levitan

doi:10.1016/s0010-4655(98)00156-8

Keywords

Monte Carlo methodSensitivity (control systems)Variance (accounting)ComputationIndex (typography)Statistical physicsMathematicsVariance-based sensitivity analysisStatisticsControl variatesEconometricsComputer scienceApplied mathematicsHybrid Monte CarloAlgorithmMarkov chain Monte CarloPhysicsAnalysis of varianceOne-way analysis of varianceEngineeringEconomics

Affiliated Institutions

Keldysh Institute of Applied Mathematics RU

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Publication Info

Year: 1999
Type: article
Volume: 117
Issue: 1-2
Pages: 52-61
Citations: 104
Access: Closed

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APA Style

                            
                                    I. M. Sobol, 
                                
                                    Yu. L. Levitan
                                
                            (1999). 
                            On the use of variance reducing multipliers in Monte Carlo computations of a global sensitivity index. 
                            Computer Physics Communications
                            , 117
                            (1-2)
                            , 52-61.
                            https://doi.org/10.1016/s0010-4655(98)00156-8

Identifiers

DOI: 10.1016/s0010-4655(98)00156-8