Vector estimators of the Monte Carlo method with a finite variance

DOI10.1515/RNAM-2013-0014MaRDI QIDQ2870269zbMATH OpenOpenAlexFDO

Authors I. N. Medvedev

Publication date 17 January 2014

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-2013-0014

zbMATH Keywords

algorithm with branchingfinite varianceMonte Carlo methodsystem of second-kind integral equationsvector estimator

Mathematics Subject Classification ID

Systems of nonsingular linear integral equations (45F05) Monte Carlo methods (65C05) Numerical methods for integral equations (65R20)

Review text

Several algorithms of weighted Monte Carlo estimators for solving a system of second-kind integral equations are exploited. A majorant comparison criterion is applied to analyze the finite variance property of the collision based estimator. An algorithm with branching is also discussed.

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Cited in

(14)

• Vector Monte Carlo algorithms with finite computational cost
• Universal modification of vector weighted method of correlated sampling with finite computational cost
• Study of weighted Monte Carlo algorithms with branching
• A new criterion for finiteness of weight estimator variance in statistical simulation
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• The use of the scalar Monte Carlo estimators for the optimization of the corresponding vector weight algorithms
• Vector estimators of the Monte Carlo method: dual representation and optimization
• The efficiency study of splitting and branching in the Monte Carlo method
• Discrete stochastic consistent estimators of the Monte Carlo method
• Improved estimators for the GMANOVA problem with application to Monte Carlo simulation
• Weighted Monte Carlo algorithms with branching corresponding member of the RAS

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