Abstract In this chapter, we present a general introduction to Monte Carlo (MC)-based methods, sampling methodologies, stratification methods, and variance reduction techniques. In the first part, we will discuss the theoretical basis and the convergence proprieties of MC methods. The next part is devoted to pseudorandom and quasi-random number generation, the generation of random variables and the application of stratification. It is followed by techniques for correlation and discrepancy control. The third part presents the concept of Latin Hypercube Sampling (LHS). The last part introduces the concept of Multi-Level Monte Carlo (MLMC).
General Introduction to Monte Carlo and Multi-level Monte Carlo Methods
21.07.2018
14 pages
Aufsatz/Kapitel (Buch)
Elektronische Ressource
Englisch
Continuation Multi-level Monte Carlo
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|Multi-level Monte Carlo Method
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|Distributional Direct Simulation Monte Carlo Methods
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|Monte Carlo variance reduction
NTRS | 1980
|