hal-00256644, version 1
Controlled stratification for quantile estimation
Claire Cannamela 1J. Garnier 2, 3, 4Bertrand Iooss
5, 6
Annals Of Applied Statistics 2, 4 (2008) 1554-1580
Abstract: In this paper we propose and discuss variance reduction techniques for the estimation of quantiles of the ouput of a complex model with random input parameters. These techniques are based on the use of a reduced model, such as a metamodel or a response surface. The reduced model can be used as a control variate; or a rejection method can be implemented to sample the realizations of the input parameters in prescribed relevant strata; or the reduced model can be used to determine a good biased distribution of the input parameters for the calibration of an importance sampling strategy. The different strategies are analyzed, the asymptotic variances are computed and compared, which shows the benefit of an adaptive controlled stratification method. This method is applied to a real example (computation of the peak cladding temperature during a large-break loss of coolant accident in a nuclear reactor).
- 1: SUPELEC-Campus Gif
- SUPELEC
- 2: Laboratoire de Probabilités et Modèles Aléatoires (LPMA)
- CNRS : UMR7599 – Université Paris VI - Pierre et Marie Curie – Université Paris VII - Paris Diderot
- 3: Centre de Mathématiques Appliquées (CMAP)
- CNRS : UMR7641 – Université de Versailles Saint-Quentin-en-Yvelines – Polytechnique - X
- 4: Science et Ingénierie des Matériaux et Procédés (SIMAP)
- CNRS : UMR5266 – Université Joseph Fourier - Grenoble I – Institut National Polytechnique de Grenoble (INPG)
- 5: Laboratoire de Conduite et Fiabilité des Réacteurs (LCFR)
- CEA : DEN/DER/SESI/LCFR
- 6: GdR MASCOT-NUM ((Méthodes d'Analyse Stochastique des Codes et Traitements Numériques))
- CNRS : GDR3179
- Domain : Statistics/Methodology
Mathematics/Statistics
Statistics/Statistics Theory - Keywords : Quantile estimation – Monte Carlo method – Variance reduction – Computer experiments
- hal-00256644, version 1
- http://hal.archives-ouvertes.fr/hal-00256644
- oai:hal.archives-ouvertes.fr:hal-00256644
- From: Bertrand Iooss
- Submitted on: Friday, 15 February 2008 23:25:30
- Updated on: Saturday, 6 June 2009 11:13:07






Associated documents

Export