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.
Full text not available from this repository.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 |
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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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