Importance sampling variance reduction for the Fokker–Planck rarefied gas particle method

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Variance Reduction in SGD by Distributed Importance Sampling

Humans are able to accelerate their learning by selecting training materials that are the most informative and at the appropriate level of difficulty. We propose a framework for distributing deep learning in which one set of workers search for the most informative examples in parallel while a single worker updates the model on examples selected by importance sampling. This leads the model to up...

متن کامل

Importance Sampling for Markov Chains: Asymptotics for the Variance

In this paper, we apply the Perron-Frobenius theory for non-negative matrices to the analysis of variance asymptotics for simulations of finite state Markov chain to which importance sampling is applied. The results show that we can typically expect the variance to grow (at least) exponentially rapidly in the length of the time horizon simulated. The exponential rate constant is determined by t...

متن کامل

AN ADAPTIVE IMPORTANCE SAMPLING-BASED ALGORITHM USING THE FIRST-ORDER METHOD FOR STRUCTURAL RELIABILITY

Monte Carlo simulation (MCS) is a useful tool for computation of probability of failure in reliability analysis. However, the large number of samples, often required for acceptable accuracy, makes it time-consuming. Importance sampling is a method on the basis of MCS which has been proposed to reduce the computational time of MCS. In this paper, a new adaptive importance sampling-based algorith...

متن کامل

Variance Reduction Techniques of Importance Sampling Monte Carlo Methods for Pricing Options

In this paper we discuss the importance sampling Monte Carlo methods for pricing options. The classical importance sampling method is used to eliminate the variance caused by the linear part of the logarithmic function of payoff. The variance caused by the quadratic part is reduced by stratified sampling. We eliminate both kinds of variances just by importance sampling. The corresponding space ...

متن کامل

Variance Reduction Methods II 2 1 . 1 The Importance Sampling Estimator

For this problem, however, the usual approach would be completely inadequate since approximating θ to any reasonable degree of accuracy would require n to be inordinately large. For example, on average we would have to set n ≈ 2.7014× 10 in order to obtain just one non-zero value of I. Clearly this is impractical and a much smaller value of n would have to be used. Using a much smaller value of...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Journal of Computational Physics

سال: 2016

ISSN: 0021-9991

DOI: 10.1016/j.jcp.2016.08.008