ACCELERATED MONTE CARLO FOR PARTICLE DISPERSION

DOI10.1081/STA-100107698MaRDI QIDQ4540565zbMATH OpenOpenAlexFDO

Authors Mark Fitzgerald, Rick Picard

Publication date 28 July 2002

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sta-100107698

zbMATH Keywords

experimental designconvergenceregression analysisMarkov chainsMonte Carlo methodadaptive importance samplingairborne particle dispersion

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Stochastic particle methods (65C35)

Recommendations

• Accelerating convergence in stochastic particle dispersion simulation codes
• Adapative importance sampling on discrete Markov chains
• Exponential convergence of adaptive importance sampling for Markov chains
• Examples comparing importance sampling and the Metropolis algorithm
• Acceleration on adaptive importance sampling with sample average approximation

Cited in

(4)

• Accelerating convergence in stochastic particle dispersion simulation codes
• Adaptive simulation using perfect control variates
• Exponential convergence of adaptive importance sampling for Markov chains
• Monte Carlo Methods for Particle Transport

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