Decision Sciences
8 years ago

Monte Carlo Sampling Slower Than Standard Method for Sensitivity Analysis.

Sensitivity Analysis of Markov Chain Monte Carlo
Harry Millwater, Eric Vazquez, JUSTIN WU, Michael Shiao

Paper Summary

The study looked at how a method called Markov Chain Monte Carlo (MCMC) is used to calculate sensitivities in complex mathematical models. They found that MCMC gives accurate results but is slower than the standard method. This means that the sensitivities calculated using MCMC have more variability compared to the standard method. Therefore, the method used to calculate sensitivities with MCMC needs to be used carefully.

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