Monte Carlo Estimates of Domain-Deformation Sensitivities

Abstract : It is shown that, when a Monte Carlo algorithm is used for estimation of any physical quantity A, a simple and fast additional procedure can be implemented that simultaneously estimates the sensitivity of A to any problem parameter. The proposed approach is general and systematic in the sense that: (i) it includes domain-deformation sensitivities, i.e., cases where a change in the parameter modifies the domain over which the sampled random variables are defined and (ii) a simple generic procedure is presented to address all remaining free choices in terms of variance minimization.