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Zhurnal Vychislitel'noi Matematiki i Matematicheskoi Fiziki, 2009, Volume 49, Number 11, Pages 2010–2019 (Mi zvmmf4786)  
This article is cited in 1 scientific paper (total in 1 paper)

Modification of two-step Monte Carlo algorithms based on the symmetry of the first step

G. A. Mikhailova, S. A. Rozhenkob

a Institute of Computational Mathematics and Mathematical Geophysics, Siberian Branch, Russian Academy of Sciences, pr. Akademika Lavrent'eva 6, Novosibirsk, 630090, Russia
b Novosibirsk State University, Universitetskii pr. 2, Novosibirsk, 630090, Russia
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Abstract: Two-step Monte Carlo algorithms are modified taking into account the symmetry (i.e., invariance) of the first step about some initial vector parameter of the modeled trajectory. In the modification, the modeling of this parameter is formally transferred to the second step of the algorithm. In the “splitting method”, this means the randomization of the initial points of auxiliary trajectories. It is shown that the randomization can be improved by applying the Bellman principle.
Key words: Monte Carlo method, two-step algorithm, splitting method, complexity estimation for algorithms.
Received: 04.05.2009
English version:
Computational Mathematics and Mathematical Physics, 2009, Volume 49, Issue 11, Pages 1921–1929
DOI: https://doi.org/10.1134/S0965542509110098
Bibliographic databases:
Document Type: Article
UDC: 519.676
Language: Russian
Citation: G. A. Mikhailov, S. A. Rozhenko, “Modification of two-step Monte Carlo algorithms based on the symmetry of the first step”, Zh. Vychisl. Mat. Mat. Fiz., 49:11 (2009), 2010–2019; Comput. Math. Math. Phys., 49:11 (2009), 1921–1929
Citation in format AMSBIB
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    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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