Vector Monte Carlo algorithms with finite computational cost

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3 Citations (Scopus)

Abstract

The issues of finite computational cost of some vector weighted Monte Carlo algorithms are studied in the paper relative to estimation of linear functionals of solutions to systems of the 2nd kind integral equations. A universal modification of the weight vector collision estimator with branching of the chain trajectory relative to the elements of matrix weight is constructed. It is proved that the computational cost of the constructed algorithm is finite in the case when the basic functionals are bounded. The results of numerical calculations are presented for the case of use of a modified weight estimator for some problems of the radiation transfer theory with allowance for polarization.

Original languageEnglish
Pages (from-to)359-370
Number of pages12
JournalRussian Journal of Numerical Analysis and Mathematical Modelling
Volume32
Issue number6
DOIs
Publication statusPublished - 20 Dec 2017

Keywords

  • finite computational cost
  • Markov chain trajectory branching
  • matrixweight
  • polarized radiation transfer.
  • Systemof linear integral equations of the 2nd kind
  • weight vector estimator

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