拉丁超立方体抽样
蒙特卡罗方法
采样(信号处理)
Sobol序列
数学
统计
超立方体
灵敏度(控制系统)
切片取样
重要性抽样
计算机科学
工程类
离散数学
电子工程
计算机视觉
滤波器(信号处理)
作者
Jon C. Helton,F.J. Davis
标识
DOI:10.1016/s0951-8320(03)00058-9
摘要
The following techniques for uncertainty and sensitivity analysis are briefly summarized: Monte Carlo analysis, differential analysis, response surface methodology, Fourier amplitude sensitivity test, Sobol' variance decomposition, and fast probability integration. Desirable features of Monte Carlo analysis in conjunction with Latin hypercube sampling are described in discussions of the following topics: (i) properties of random, stratified and Latin hypercube sampling, (ii) comparisons of random and Latin hypercube sampling, (iii) operations involving Latin hypercube sampling (i.e. correlation control, reweighting of samples to incorporate changed distributions, replicated sampling to test reproducibility of results), (iv) uncertainty analysis (i.e. cumulative distribution functions, complementary cumulative distribution functions, box plots), (v) sensitivity analysis (i.e. scatterplots, regression analysis, correlation analysis, rank transformations, searches for nonrandom patterns), and (vi) analyses involving stochastic (i.e. aleatory) and subjective (i.e. epistemic) uncertainty.
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