Convergence issues in derivatives of Monte Carlo null-collision integral formulations: a solution

DOI10.1016/J.JCP.2020.109463zbMATH Open1436.65010arXiv1903.06508OpenAlexW3017109154MaRDI QIDQ776751FDOQ776751

J.-M. Tregan, N. Villefranque, Stéphane Blanco, M. El Hafi, Richard Fournier, L. Ibarrart, Jérémi Dauchet, P. Lapeyre

Publication date: 13 July 2020

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

Abstract: When a Monte Carlo algorithm is used to evaluate a physical observable A, it is possible to slightly modify the algorithm so that it evaluates simultaneously A and the derivatives $partial$ $varsigma$ A of A with respect to each problem-parameter $varsigma$. The principle is the following: Monte Carlo considers A as the expectation of a random variable, this expectation is an integral, this integral can be derivated as function of the problem-parameter to give a new integral, and this new integral can in turn be evaluated using Monte Carlo. The two Monte Carlo computations (of A and $partial$ $varsigma$ A) are simultaneous when they make use of the same random samples, i.e. when the two integrals have the exact same structure. It was proven theoretically that this was always possible, but nothing insures that the two estimators have the same convergence properties: even when a large enough sample-size is used so that A is evaluated very accurately, the evaluation of $partial$ $varsigma$ A using the same sample can remain inaccurate. We discuss here such a pathological example: null-collision algorithms are very successful when dealing with radiative transfer in heterogeneous media, but they are sources of convergence difficulties as soon as sensitivity-evaluations are considered. We analyse theoretically these convergence difficulties and propose an alternative solution.

Full work available at URL: https://arxiv.org/abs/1903.06508

zbMATH Keywords

sensitivityMonte Carlo methodintegral formulationdirect derivativesnull-collision algorithm

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Applications to the sciences (65Z05) Radiative heat transfer (80A21)

Cites Work

• A Monte-Carlo model of neutral-particle transport in diverted plasmas
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