Sampling Methods
We present Monte Carlo sampling methods - including a short discussion on variance reduction and importance sampling - for computing statistics of interest related to quantifying uncertainties. The notes for this section are taken from Art Owen's course reader for STAT362, and they are available as a separate course reader at the bookstore.
Documents
| Homework1.pdf | Homework 1. |
| hw1_code.zip | Matlab code for Homework 1. |
References
- Evaluation of failure probability via surrogate models. Jing Li and Dongbin Xiu.
- Risk Assessment of Scramjet Unstart Using Adjoint-Based Sampling Methods. Qiqi Wang, Karthik Duraisamy, Juan Jose Alonso, and Gianluca Iaccarino.