The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions
The stochastic collocation Monte Carlo sampler: highly efficient sampling from ‘expensive’ distributions
In this article, we propose an efficient approach for inverting computationally expensive cumulative distribution functions. A collocation method, called the Stochastic Collocation Monte Carlo sampler (SCMC sampler), within a polynomial chaos expansion framework, allows us the generation of any number of Monte Carlo samples based on only a few inversions …