Monte Carlo efficiency improvement by multiple sampling of conditioned integration variables

DOI10.1016/J.JCP.2016.08.036MaRDI QIDQ1674649zbMATH OpenOpenAlexFDO

Authors Sebastian Weitz, Stéphane Blanco, Julien Charon, Jérémi Dauchet, M. El Hafi, Vincent Eymet, Olivier Farges, Richard Fournier, Jacques Gautrais

Publication date 26 October 2017

Published in Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jcp.2016.08.036

zbMATH Keywords

Monte Carlo efficiencyMonte Carlo integrationstatistical physics

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Transport processes in time-dependent statistical mechanics (82C70)

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Cites work

• Exploring Monte Carlo methods.
• Monte Carlo and quasi-Monte Carlo sampling
• Monte Carlo methods.

Cited in

(17)

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• Efficiency of Multivariate Control Variates in Monte Carlo Simulation
• Improving Monte Carlo Efficiency by Increasing Variance
• Improved sampling techniques for the direct simulation Monte Carlo method
• Monte Carlo sampling in diffusive dynamical systems
• Monte Carlo integration with a growing number of control variates
• Methods of reducing sample size in Monte Carlo computations
• Efficiency of Monte Carlo computations in very high dimensional spaces
• An optimal source biased sampling density function for the Monte Carlo method
• How many inner simulations to compute conditional expectations with least-square Monte Carlo?

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