Universal modification of vector weighted method of dependent trials

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Abstract

Vector weighted Monte Carlo algorithms for the estimation of linear functionals of set of solutions of systems of the 2nd kind integral equations are studied. A universal modification of the vector weighted method of dependent trials with branching of the Markov chain trajectory relative to the elements of matrix weight is constructed. It is shown that the computational cost of the constructed algorithms is finite in the case when the solutions of systems of the 2nd kind are bounded. The application of constructed method of dependent trials is presented for some problems of the radiation transfer theory with allowance for polarization and multigroup transport theory.

Original languageEnglish
Number of pages9
JournalCommunications in Statistics: Simulation and Computation
DOIs
Publication statusPublished - 20 Aug 2019

Keywords

  • Branching of Markov chain trajectory
  • Computation cost
  • Matrix weight
  • Multigroup transport theory
  • System of linear integral equations
  • Transfer of polarized radiation
  • Vector weight estimator
  • Weighted method of dependent trials

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