Coupling algorithms for calculating sensitivities of Smoluchowski's coagulation equation

DOI10.1137/09075679XzbMATH Open1210.82046OpenAlexW2051091969MaRDI QIDQ3084397FDOQ3084397

Authors: Peter L. W. Man, Markus Kraft, James R. Norris, I. Bailleul 

Publication date: 16 March 2011

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Abstract: In this paper, two new stochastic algorithms for calculating parametric derivatives of the solution to the Smoluchowski coagulation equation are presented. It is assumed that the coagulation kernel is dependent on these parameters. The new algorithms (called `Single' and `Double') work by coupling two Marcus-Lushnikov processes in such a way as to reduce the difference between their trajectories, thereby significantly reducing the variance of central difference estimators of the parametric derivatives. In the numerical results, the algorithms are shown have have a O(1/N) order of convergence as expected, where N is the initial number of particles. It was also found that the Single and Double algorithms provide much smaller variances. Furthermore, a method for establishing `efficiency' is considered, which takes into account the variances as well as CPU run times, and the `Double' is significantly more `efficient' compared to the `Independent' algorithm in most cases.

Full work available at URL: https://arxiv.org/abs/0910.3916

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zbMATH Keywords

simulationmodelingSmoluchowski coagulation equation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic particle methods (65C35) Interacting particle systems in time-dependent statistical mechanics (82C22)

Cited In (5)

• A Stochastic Algorithm for Parametric Sensitivity in Smoluchowski's Coagulation Equation
• A Monte Carlo methods for identification and sensitivity analysis of coagulation processes
• Coupling algorithms for calculating sensitivities of population balances
• Probabilistic representations of fragmentation equations
• On the rate of convergence for the mean-field approximation of controlled diffusions with large number of players

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