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 integrationstatistical physicsMonte Carlo efficiency

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

(16)

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• Dynamic random Weyl sampling for drastic reduction of randomness in Monte Carlo integration
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• Improved sampling techniques for the direct simulation Monte Carlo method
• An optimal source biased sampling density function for the Monte Carlo method
• Efficiency of Monte Carlo computations in very high dimensional spaces
• scientific article; zbMATH DE number 4018201 (Why is no real title available?)
• Methods of reducing sample size in Monte Carlo computations
• How many inner simulations to compute conditional expectations with least-square Monte Carlo?
• Extending Monte Carlo samples
• Improving Monte Carlo Efficiency by Increasing Variance
• Efficiency of Multivariate Control Variates in Monte Carlo Simulation
• A cluster-sample approach for Monte Carlo integration using multiple samplers
• A non-intrusive B-splines Bézier elements-based method for uncertainty propagation

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