Comparison of Monte Carlo and Quasi Monte Carlo Sampling Methods in High Dimensional Model Representation

Authors:
Balazs Feil;Sergei Kucherenko;Nilay Shah
Affiliations:
-;-;-
Venue:
SIMUL '09 Proceedings of the 2009 First International Conference on Advances in System Simulation
Year:
2009

Citing 0
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Abstract

A number of new techniques which improve the efficiency of Random Sampling-High Dimensional Model Representation (RS-HDMR) is presented. Comparison shows that Quasi Monte Carlo based HDMR (QRS-HDRM) significantly outperforms RS-HDMR. RS/QRS-HDRM based methods also show faster convergence than the Sobol method for sensitivity indices calculation. Numerical tests prove that the developed methods for choosing optimal orders of polynomials and the number of sampled points are robust and efficient.