Minimax optimization of the numerical-statistical similar trajectory method

DOI10.1134/S1064562412050055MaRDI QIDQ1930845zbMATH OpenFDO

Authors G. A. Mikhaĭlov, S. A. Rozhenko

Publication date 14 January 2013

Published in Doklady Mathematics (Search for Journal in Brave)

zbMATH Keywords

importance samplingminimax problemssimilar trajectory methodweighted Monte-Carlo method

Mathematics Subject Classification ID

Density estimation (62G07) Monte Carlo methods (65C05) Approximations to statistical distributions (nonasymptotic) (62E17) Optimality conditions for minimax problems (49K35)

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Cites work

• Weighted Monte Carlo algorithms with branching corresponding member of the RAS

Cited in

(4)

• Minimax parametric optimization of numerical-statistical `method of similar trajectories' for solution of radiation transfer theory problems
• Comparative analysis of vector algorithms for statistical modelling of polarized radiative transfer process
• The method of similar trajectories with branching according to parametric maximum of the auxiliary weight
• Modifications of the standard vector Monte Carlo estimate for characteristics analysis of scattered polarized radiation

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