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20192022
most citedVariance based sensitivity analysis for Monte Carlo and importance sampling reliability assessment with Gaussian processes

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stat.ME2022

Efficient estimation of multiple expectations with the same sample by adaptive importance sampling and control variates

Julien Demange-Chryst, François Bachoc, Jérôme Morio

Some classical uncertainty quantification problems require the estimation of multiple expectations. Estimating all of them accurately is crucial and can have a major impact on the…