A synopsis of Monte Carlo perturbation algorithms

DOI10.1006/JCPH.1994.1041MaRDI QIDQ1326705zbMATH OpenOpenAlexFDO

Authors Herbert Rief

Publication date 18 May 1994

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

Full work available at URL https://doi.org/10.1006/jcph.1994.1041

zbMATH Keywords

algorithmscorrelated samplingcorrelation techniquesdifferential operator samplinggradientsintegralsMarkov processesMonte Carlo perturbation algorithmssimulation experimentsystems of linear equations

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Measures of association (correlation, canonical correlation, etc.) (62H20) Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99)

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(8)

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• Arbitrary perturbations in Monte Carlo neutral-particle transport
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• Methods of reducing sample size in Monte Carlo computations
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