Zhurnal Vychislitel'noi Matematiki i Matematicheskoi Fiziki
RUS  ENG    JOURNALS   PEOPLE   ORGANISATIONS   CONFERENCES   SEMINARS   VIDEO LIBRARY   PACKAGE AMSBIB  
General information
Latest issue
Archive
Impact factor

Search papers
Search references

RSS
Latest issue
Current issues
Archive issues
What is RSS


Zh. Vychisl. Mat. Mat. Fiz.:
Year:
Volume:
Issue:
Page:
Find




Personal entry:
Login:
Password:
Save password
Enter
Forgotten password?
Register

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
Full-text PDF (1071 kB) Citations (1)
References:
PDF
HTML
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
\Bibitem{MikRoz09}
\by G.~A.~Mikhailov, S.~A.~Rozhenko
\paper Modification of two-step Monte Carlo algorithms based on the symmetry of the first step
\jour Zh. Vychisl. Mat. Mat. Fiz.
\yr 2009
\vol 49
\issue 11
\pages 2010--2019
\mathnet{http://mi.mathnet.ru/zvmmf4786}
\transl
\jour Comput. Math. Math. Phys.
\yr 2009
\vol 49
\issue 11
\pages 1921--1929
\crossref{https://doi.org/10.1134/S0965542509110098}
\isi{https://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=Publons&SrcAuth=Publons_CEL&DestLinkType=FullRecord&DestApp=WOS_CPL&KeyUT=000272464100009}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-71549124402}
Linking options:
  • https://www.mathnet.ru/eng/zvmmf4786
  • https://www.mathnet.ru/eng/zvmmf/v49/i11/p2010
    • This publication is cited in the following 1 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Журнал вычислительной математики и математической физики Computational Mathematics and Mathematical Physics
    Statistics & downloads:
    Abstract page:466
    Full-text PDF :126
    References:54
    First page:7
     
      Contact us:
    		  Terms of Use  Registration to the website  Logotypes © Steklov Mathematical Institute RAS, 2024