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math.NA2015★ 13 cited
Efficient estimators for likelihood ratio sensitivity indices of complex stochastic dynamics
Georgios Arampatzis, Markos A. Katsoulakis, Luc Rey-Bellet
We demonstrate that centered likelihood ratio estimators for the sensitivity indices of complex stochastic dynamics are highly efficient with low, constant in time variance and con…
math.NA2013★ 18 cited
Goal-oriented sensitivity analysis for lattice kinetic Monte Carlo simulations
Georgios Arampatzis, Markos Katsoulakis
In this paper we propose a new class of coupling methods for the sensitivity analysis of high dimensional stochastic systems and in particular for lattice Kinetic Monte Carlo. Sens…