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Zhurnal Vychislitel'noi Matematiki i Matematicheskoi Fiziki, 2013, Volume 53, Number 9, Pages 1503–1516
DOI: https://doi.org/10.7868/S004446691309010X (Mi zvmmf9917) 		 
This article is cited in 3 scientific papers (total in 3 papers)

Parametric weighted minimax estimates in Monte-Carlo methods

G. A. Mikhailov, S. A. Rozhenko

Institute of Computational Mathematics and Mathematical Geophysics, Siberian Branch, Russian Academy of Sciences, pr. Akademika Lavrent'eva 6, Novosibirsk, 630090, Russia
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DOI: https://doi.org/10.7868/S004446691309010X
Abstract: In the similar trajectory method (STM), the numerical-statistical modeling of trajectories of particles (radiation quanta) is implemented by applying an auxiliary radiation model. Weighted estimates of the functionals are calculated simultaneously for a set physical parameters values. Theoretical and numerical aspects of choosing an auxiliary model with the aim of minimizing the parametric maximum of the mean-square error in weighted estimates are discussed. Previously known results concerning minimax STM algorithms are refined, and new assertions are obtained. The STM is used to numerically study the parametric dependence of the “transport approximation” error for the particle transmission, absorption, and reflection probabilities.
Key words: Monte-Carlo method, similar trajectory method, minimax algorithms.
Received: 21.09.2013
English version:
Computational Mathematics and Mathematical Physics, 2013, Volume 53, Issue 9, Pages 1323–1335
DOI: https://doi.org/10.1134/S0965542513090091
Bibliographic databases:
Document Type: Article
UDC: 519.676
Language: Russian
Citation: G. A. Mikhailov, S. A. Rozhenko, “Parametric weighted minimax estimates in Monte-Carlo methods”, Zh. Vychisl. Mat. Mat. Fiz., 53:9 (2013), 1503–1516; Comput. Math. Math. Phys., 53:9 (2013), 1323–1335
Citation in format AMSBIB
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    • This publication is cited in the following 3 articles:
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