Parallel importance separation and adaptive Monte Carlo algorithms for multiple integrals

被引：0

作者：

Dimov, I ^{[1
]}

Karaivanova, A ^{[1
]}

Georgieva, R ^{[1
]}

Ivanovska, S ^{[1
]}

机构：

[1] Bulgarian Acad Sci, CLPP, BU-1113 Sofia, Bulgaria

来源：

NUMERICAL METHODS AND APPLICATIONS | 2003年 / 2542卷

关键词：

D O I：

暂无

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

Monte Carlo Method (MCM) is the only viable method for many high-dimensional problems since its convergence is independent of the dimension. In this paper we develop an adaptive Monte Carlo method based on the ideas and results of the importance separation, a method that combines the idea of separation of the domain into uniformly small subdomains with the Kahn approach of importance sampling. We analyze the error and compare the results with crude Monte Carlo and importance sampling which is the most widely used variance reduction Monte Carlo method. We also propose efficient parallelizations of the importance separation method and the studied adaptive Monte Carlo method. Numerical tests implemented on PowerPC cluster using MPI are provided.

引用

页码：99 / 107

页数：9

共 14 条

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