Monte Carlo method and sensitivity estimations

A De Lataillade (1) , Stéphane Blanco (2) , Y Clergent (2) , J L Dufresne (3) , Mouna El-Hafi (1) , Richard A Fournier (2)

1 Centre Energétique et Environnement - Ecole des Mines Albi-Carmaux
2 UT3 - Université Toulouse III - Paul Sabatier
3 LMD - Laboratoire de Météorologie Dynamique (UMR 8539)

It is shown that, starting from any existing Monte Carlo algorithm for estimation of a physical quantity A, it is possible to implement a simple additional procedure that simultaneously estimates the sensitivity of A to any problem parameter. The corresponding supplementary cost is very low as no additional random sampling is required. The principle is presented on a formal basis and simple radiative transfer examples are used for illustration.

Mots clés: sensitivity analysis; Monte Carlo

Domaines: Sciences de l'ingénieur [physics]

A De Lataillade, Stéphane Blanco, Y Clergent, J L Dufresne, Mouna El-Hafi, et al.. Monte Carlo method and sensitivity estimations. Journal of Quantitative Spectroscopy and Radiative Transfer, 2002, 75 (5), pp.529-538. ⟨10.1016/S0022-4073(02)00027-4⟩. ⟨hal-01712163⟩