Exploitation of Sensitivity Derivatives for Improving Sampling Methods | Zendy

Yanzhao Cao | Zendy; M. Yousuff Hussaini | Zendy; Thomas A. Zang | Zendy

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Exploitation of Sensitivity Derivatives for Improving Sampling Methods

Author(s) -

Yanzhao Cao,

M. Yousuff Hussaini,

Thomas A. Zang

Publication year - 2004

Publication title -

aiaa journal

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.828

H-Index - 158

eISSN - 1081-0102

pISSN - 0001-1452

DOI - 10.2514/1.2820

Subject(s) - sensitivity (control systems) , finite element method , sampling (signal processing) , variance reduction , monte carlo method , computational fluid dynamics , computer science , importance sampling , mathematical optimization , variance (accounting) , algorithm , mathematics , engineering , statistics , structural engineering , aerospace engineering , filter (signal processing) , electronic engineering , computer vision , accounting , business

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. A simple variance reduction method is described that exploits such inexpensive sensitivity derivatives to increase the accuracy of sampling methods. Five 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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