Parametric weighted minimax estimates in Monte-Carlo methods
Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki, Tome 53 (2013) no. 9, pp. 1503-1516
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In the similar trajectory method (STM), the numerical-statistical modeling of trajectories of particles (radiation quanta) is implemented by applying an auxiliary radiation model. Weighted estimates of the functionals are calculated simultaneously for a set physical parameters values. Theoretical and numerical aspects of choosing an auxiliary model with the aim of minimizing the parametric maximum of the mean-square error in weighted estimates are discussed. Previously known results concerning minimax STM algorithms are refined, and new assertions are obtained. The STM is used to numerically study the parametric dependence of the “transport approximation” error for the particle transmission, absorption, and reflection probabilities.
@article{ZVMMF_2013_53_9_a6,
author = {G. A. Mikhailov and S. A. Rozhenko},
title = {Parametric weighted minimax estimates in {Monte-Carlo} methods},
journal = {\v{Z}urnal vy\v{c}islitelʹnoj matematiki i matemati\v{c}eskoj fiziki},
pages = {1503--1516},
publisher = {mathdoc},
volume = {53},
number = {9},
year = {2013},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/ZVMMF_2013_53_9_a6/}
}
TY - JOUR AU - G. A. Mikhailov AU - S. A. Rozhenko TI - Parametric weighted minimax estimates in Monte-Carlo methods JO - Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki PY - 2013 SP - 1503 EP - 1516 VL - 53 IS - 9 PB - mathdoc UR - http://geodesic.mathdoc.fr/item/ZVMMF_2013_53_9_a6/ LA - ru ID - ZVMMF_2013_53_9_a6 ER -
%0 Journal Article %A G. A. Mikhailov %A S. A. Rozhenko %T Parametric weighted minimax estimates in Monte-Carlo methods %J Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki %D 2013 %P 1503-1516 %V 53 %N 9 %I mathdoc %U http://geodesic.mathdoc.fr/item/ZVMMF_2013_53_9_a6/ %G ru %F ZVMMF_2013_53_9_a6
G. A. Mikhailov; S. A. Rozhenko. Parametric weighted minimax estimates in Monte-Carlo methods. Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki, Tome 53 (2013) no. 9, pp. 1503-1516. http://geodesic.mathdoc.fr/item/ZVMMF_2013_53_9_a6/