Variance reduction techniques

In the present paper, we propose an alternative version of the AMS algorithm, adapted for the first time to the field of particle transport.

10p christabelhuynh 30-05-2020 9 0   Download

This paper develops an original framework that mathematically expresses the coupling of the weight window and source biasing techniques, allowing the authors to explore the impact of inconsistent source sampling on the variance of MC results. A numerical experiment supports this new framework and suggests that certain classes of problems may be relatively insensitive to inconsistent source sampling schemes with moderate levels of splitting and rouletting.

9p minhxaminhyeu4 26-06-2019 13 0   Download

Adaptive and Recursive Monte Carlo Methods This section discusses more advanced techniques of Monte Carlo integration. As examples of the use of these techniques, we include two rather different, fairly sophisticated, multidimensional Monte Carlo codes: vegas [1,2] , and miser [3]. The techniques that we discuss all fall under the general rubric of reduction of variance (§7.6), but are otherwise quite distinct.

13p babyuni 17-08-2010 60 6   Download