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A two-stage procedure for determining the number of trials in the application of a Monte Carlo method for uncertainty evaluation.

Wubbeler, G*; Harris, P M; Cox, M G; Elster, C* (2010) A two-stage procedure for determining the number of trials in the application of a Monte Carlo method for uncertainty evaluation. Metrologia, 47 (3). pp. 317-324.

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Abstract

Adaptive Monte Carlo schemes may be used to determine the number of Monte Carlo trials necessary for the evaluation of uncertainty according to Supplement 1 to the GUM (GUM S1). The goal is to reach a prescribed numerical accuracy of the Monte Carlo results for a chosen confidence level. It is shown that simple sequential adaptive Monte Carlo schemes may fail in this regard and an alternative method based on Stein¿s two-stage sampling procedure is proposed. The implementation of this two-stage scheme for GUM S1 is described, and its performance and robustness are demonstrated in terms of simulation results.

Item Type: Article
Subjects: Mathematics and Scientific Computing
Mathematics and Scientific Computing > Measurement Uncertainties
Last Modified: 02 Feb 2018 13:15
URI: http://eprintspublications.npl.co.uk/id/eprint/4640

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