A synopsis of Monte Carlo perturbation algorithms

DOI10.1006/JCPH.1994.1041zbMath0920.65097OpenAlexW1973532829MaRDI QIDQ1326705

Herbert Rief

Publication date: 18 May 1994

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jcph.1994.1041

zbMATH Keywords

algorithmsintegralsMarkov processessystems of linear equationsgradientssimulation experimentcorrelated samplingcorrelation techniquesdifferential operator samplingMonte Carlo perturbation algorithms

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (5)

Arbitrary perturbations in Monte Carlo neutral-particle transport ⋮ Generalized estimates for performance sensitivities of stochastic systems ⋮ Small-sample statistical condition estimation of large-scale generalized eigenvalue problems ⋮ Exact Monte Carlo perturbation analysis by forward-adjoint coupling in radiation transport calculations ⋮ A kinetic theory for nonanalog Monte Carlo particle transport algorithms: Exponential transform with angular biasing in planar-geometry anisotropically scattering media

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