13,562 research outputs found
Application of quasi-Monte Carlo methods to PDEs with random coefficients -- an overview and tutorial
This article provides a high-level overview of some recent works on the
application of quasi-Monte Carlo (QMC) methods to PDEs with random
coefficients. It is based on an in-depth survey of a similar title by the same
authors, with an accompanying software package which is also briefly discussed
here. Embedded in this article is a step-by-step tutorial of the required
analysis for the setting known as the uniform case with first order QMC rules.
The aim of this article is to provide an easy entry point for QMC experts
wanting to start research in this direction and for PDE analysts and
practitioners wanting to tap into contemporary QMC theory and methods.Comment: arXiv admin note: text overlap with arXiv:1606.0661
Monte Carlo Estimation of the Density of the Sum of Dependent Random Variables
We study an unbiased estimator for the density of a sum of random variables
that are simulated from a computer model. A numerical study on examples with
copula dependence is conducted where the proposed estimator performs favourably
in terms of variance compared to other unbiased estimators. We provide
applications and extensions to the estimation of marginal densities in Bayesian
statistics and to the estimation of the density of sums of random variables
under Gaussian copula dependence
Broad distribution effects in sums of lognormal random variables
The lognormal distribution describing, e.g., exponentials of Gaussian random
variables is one of the most common statistical distributions in physics. It
can exhibit features of broad distributions that imply qualitative departure
from the usual statistical scaling associated to narrow distributions.
Approximate formulae are derived for the typical sums of lognormal random
variables. The validity of these formulae is numerically checked and the
physical consequences, e.g., for the current flowing through small tunnel
junctions, are pointed out.Comment: 14 pages, 9 figures. Minor changes + Gini coefficient and 4 refs.
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