Improvement of multidimensional randomized Monte Carlo algorithms with ``splitting

DOI10.1134/S0965542519050117MaRDI QIDQ2332632zbMATH OpenOpenAlexFDO

Authors G. A. Mikhaĭlov

Publication date 4 November 2019

Published in Computational Mathematics and Mathematical Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1134/s0965542519050117

zbMATH Keywords

Monte Carlo methodsprobabilistic modelsrandomized algorithmstatistical kernel estimation

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Density estimation (62G07) Monte Carlo methods (65C05)

Review text

The paper studies the optimization of randomized Monte Carlo algorithms through statistical kernel estimation of the multidimensional distribution and a splitting approach to model a number \(n\) of baseline trajectories.

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Cited in

(9)

• Estimation of the average particle flux in a stochastically homogeneous medium by Monte Carlo method
• Conditional optimization of the functional computational kernel algorithm for approximating the probability density on the basis of a given sample
• Randomized algorithms with splitting: Why the classic randomized algorithms do not work and how to make them work
• Splitting of trajectories in the Monte Carlo method taking into account the symmetry of the source
• Modification of two-step Monte Carlo algorithms based on the symmetry of the first step
• Algorithms for the calculation of the second moment of geometrical splitting in Monte Carlo
• scientific article; zbMATH DE number 4088801 (Why is no real title available?)
• Efficient Monte Carlo simulation via the generalized splitting method
• Numerical-statistical and analytical study of asymptotics for the average multiplication particle flow in a random medium

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