Optimization of Weighted Monte Carlo Methods

Name: Optimization of Weighted Monte Carlo Methods
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 9783642759833
Price: 276.6 RON
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Autor: Gennadii A. Mikhailov

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Editura: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

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The Monte Carlo method is based on the munerical realization of natural or artificial models of the...

Informații despre carte

Autor

Gennadii A. Mikhailov

Limbă

engleză

Legare

Carte - Carte broșată

Publicat

2011

Pagini

225

EAN

9783642759833

ISBN

3642759831

Enbook ID

07009765

Editura

Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Greutate

376

Dimensiuni

155 x 235 x 15

Descriere completă

The Monte Carlo method is based on the munerical realization of natural or artificial models of the phenomena under considerations. In contrast to classical computing methods the Monte Carlo efficiency depends weakly on the dimen sion and geometric details of the problem. The method is used for solving complex problems of the radiation transfer theory, turbulent diffusion, chemi cal kinetics, theory of rarefied gases, diffraction of waves on random surfaces, etc. The Monte Carlo method is especially effective when using multi-processor computing systems which allow many independent statistical experiments to be simulated simultaneously. The weighted Monte Carlo estimates are constructed in order to diminish errors and to obtain dependent estimates for the calculated functionals for different values of parameters of the problem, i.e., to improve the functional dependence. In addition, the weighted estimates make it possible to evaluate special functionals, for example, the derivatives with respect to the parameters. There are many works concerned with the development of the weighted estimates. In Chap. 1 we give the necessary information about these works and present a set of illustrations. The rest of the book is devoted to the solution of a series of mathematical problems related to the optimization of the weighted Monte Carlo estimates.

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Optimization of Weighted Monte Carlo Methods

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