Monte-Carlo based uncertainty analysis: Sampling efficiency and sampling convergence

Monte-Carlo based uncertainty analysis: Sampling efficiency and sampling convergence

Monte Carlo analysis has become nearly ubiquitous since its introduction, now over 65 years ago. It is an important tool in many assessments of the reliability and robustness of systems, structures or solutions. As the deterministic core simulation can be lengthy, the computational costs of Monte Carlo can be a limiting factor. To reduce that computational expense as much as possible, sampling ...

Monte Carlo Convergence Analysis for Anisotropic Sampling Power Spectra

Traditional Monte Carlo (MC) integration methods use point samples to numerically approximate the underlying integral. This approximation introduces variance in the integrated result, and this error can depend critically on the sampling patterns used during integration. Most of the well known samplers used for MC integration in graphics, e.g. jitter, Latin hypercube (n-rooks), multi-jitter, are...

Christiane Lemieux Monte Carlo and Quasi - Monte Carlo Sampling

Quasi-Monte Carlo sampling to improve the efficiency of Monte Carlo EM

In this paper we investigate an efficient implementation of the Monte Carlo EM algorithm based on Quasi-Monte Carlo sampling. The Monte Carlo EM algorithm is a stochastic version of the deterministic EM (Expectation-Maximization) algorithm in which an intractable E-step is replaced by a Monte Carlo approximation. Quasi-Monte Carlo methods produce deterministic sequences of points that can signi...

Variance and Convergence Analysis of Monte Carlo Line and Segment Sampling

Recently researchers have started employing Monte Carlo-like line sample estimators in rendering, demonstrating dramatic reductions in variance (visible noise) for effects such as soft shadows, defocus blur, and participating media. Unfortunately, there is currently no formal theoretical framework to predict and analyze Monte Carlo variance using line and segment samples which have inherently a...