The method of similar trajectories with branching according to parametric maximum of the auxiliary weight

DOI10.1515/RNAM-2016-0035MaRDI QIDQ503596zbMATH OpenOpenAlexWikidataFDO

Authors I. N. Medvedev

Publication date 13 January 2017

Published in Russian Journal of Numerical Analysis and Mathematical Modelling (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/rnam-2016-0035

zbMATH Keywords

algorithmauxiliary weightdependent trialsintegral equationMarkov chain trajectory branchingnumerical examplesparametric maximumsimilar trajectories methodweight estimatorweight estimator cost

Mathematics Subject Classification ID

Linear integral equations (45A05) Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Numerical methods for integral equations (65R20)

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Cites work

• scientific article; zbMATH DE number 3967776 (Why is no real title available?)
• scientific article; zbMATH DE number 52670 (Why is no real title available?)
• scientific article; zbMATH DE number 3454731 (Why is no real title available?)
• On the calculation of definite integrals dependent on a parameter by the monte carlo method
• Parametric weighted minimax estimates in Monte Carlo methods
• Recurrent partial averaging in the theory of weighted Monte Carlo methods

Cited in

(3)

• Universal modification of vector weighted method of correlated sampling with finite computational cost
• Minimax parametric optimization of numerical-statistical `method of similar trajectories' for solution of radiation transfer theory problems
• Parametric weighted minimax estimates in Monte Carlo methods

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