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Zh. Vychisl. Mat. Mat. Fiz., 2009, Volume 49, Number 11, Pages 2010–2019 (Mi zvmmf4786)  

This article is cited in 1 scientific paper (total in 1 paper)

Modification of two-step Monte Carlo algorithms based on the symmetry of the first step

G. A. Mikhailova, S. A. Rozhenkob

a Institute of Computational Mathematics and Mathematical Geophysics, Siberian Branch, Russian Academy of Sciences, pr. Akademika Lavrent'eva 6, Novosibirsk, 630090, Russia
b Novosibirsk State University, Universitetskii pr. 2, Novosibirsk, 630090, Russia

Abstract: Two-step Monte Carlo algorithms are modified taking into account the symmetry (i.e., invariance) of the first step about some initial vector parameter of the modeled trajectory. In the modification, the modeling of this parameter is formally transferred to the second step of the algorithm. In the “splitting method”, this means the randomization of the initial points of auxiliary trajectories. It is shown that the randomization can be improved by applying the Bellman principle.

Key words: Monte Carlo method, two-step algorithm, splitting method, complexity estimation for algorithms.

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English version:
Computational Mathematics and Mathematical Physics, 2009, 49:11, 1921–1929

Bibliographic databases:

UDC: 519.676
Received: 04.05.2009

Citation: G. A. Mikhailov, S. A. Rozhenko, “Modification of two-step Monte Carlo algorithms based on the symmetry of the first step”, Zh. Vychisl. Mat. Mat. Fiz., 49:11 (2009), 2010–2019; Comput. Math. Math. Phys., 49:11 (2009), 1921–1929

Citation in format AMSBIB
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\by G.~A.~Mikhailov, S.~A.~Rozhenko
\paper Modification of two-step Monte Carlo algorithms based on the symmetry of the first step
\jour Zh. Vychisl. Mat. Mat. Fiz.
\yr 2009
\vol 49
\issue 11
\pages 2010--2019
\mathnet{http://mi.mathnet.ru/zvmmf4786}
\transl
\jour Comput. Math. Math. Phys.
\yr 2009
\vol 49
\issue 11
\pages 1921--1929
\crossref{https://doi.org/10.1134/S0965542509110098}
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\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-71549124402}


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    Citing articles on Google Scholar: Russian citations, English citations
    Related articles on Google Scholar: Russian articles, English articles

    This publication is cited in the following articles:
    1. Rozhenko S.A., “Splitting the trajectories in the Monte Carlo method taking into account the symmetry of the source”, Russian J. Numer. Anal. Math. Modelling, 27:2 (2012), 175–189  crossref  mathscinet  zmath  isi  elib  scopus
  • Журнал вычислительной математики и математической физики Computational Mathematics and Mathematical Physics
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