Control variates with splitting for aggregating results of Monte Carlo simulation and perturbation analysis

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dc.contributor.authorAcevedo, Cristóbal H.
dc.contributor.authorValdebenito, Marcos A.
dc.contributor.authorGonzález, Iván V.
dc.contributor.authorJensen, Héctor A.
dc.contributor.authorFaes, Matthias G.R.
dc.contributor.authorLiu, Yong
dc.date.accessioned2025-12-17T08:02:26Z
dc.date.available2025-12-17T08:02:26Z
dc.date.issued2024-01-20
dc.description.abstractEstimation of second-order statistics allows characterizing the uncertainty associated with the response of stochastic finite element models. Two common approaches for estimating these statistics are Monte Carlo simulation and perturbation. The purpose of this paper is to present a framework to aggregate the results obtained by means of these two approaches under the umbrella of Control Variates with Splitting. This allows to produce estimates of the second-order statistics of the system’s response with improved precision and accuracy. More specifically, Control Variates is implemented in such a way that the variance of the estimates of second-order statistics is minimized. In addition, the application of intervening variables for enhancing perturbation is considered as well, showing substantial advantages by increasing the accuracy of the estimates of second-order statistics. The application of the proposed framework is illustrated by means of an example involving the estimation of second-order statistics of a model involving confined seepage flow.en
dc.identifier.urihttp://hdl.handle.net/2003/44561
dc.language.isoen
dc.relation.ispartofseriesStructural safety; 108
dc.rights.urihttps://creativecommons.org/licenses/by/4.0/
dc.subjectStochastic finite element modelen
dc.subjectSecond order statisticsen
dc.subjectMonte Carlo simulationen
dc.subjectPerturbationen
dc.subjectIntervening variablesen
dc.subjectControl variatesen
dc.subjectSplittingen
dc.subject.ddc620
dc.subject.rswkFinite-Elemente-Methode
dc.subject.rswkMonte-Carlo-Simulation
dc.subject.rswkStörungstheorie
dc.subject.rswkTheorie zweiter Ordnung
dc.subject.rswkVariable
dc.subject.rswkOperator-Splitting-Verfahren
dc.titleControl variates with splitting for aggregating results of Monte Carlo simulation and perturbation analysisen
dc.typeText
dc.type.publicationtypeArticle
dcterms.accessRightsopen access
eldorado.dnb.deposittrue
eldorado.doi.registerfalse
eldorado.secondarypublicationtrue
eldorado.secondarypublication.primarycitationCristóbal H. Acevedo, Marcos A. Valdebenito, Iván V. González, Héctor A. Jensen, Matthias G.R. Faes, Yong Liu, Control variates with splitting for aggregating results of Monte Carlo simulation and perturbation analysis, Structural Safety, Volume 108, 2024, 102445, https://doi.org/10.1016/j.strusafe.2024.102445
eldorado.secondarypublication.primaryidentifierhttps://doi.org/10.1016/j.strusafe.2024.102445

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