Parametric Estimates by the Monte Carlo Method

Parametric Estimates by the Monte Carlo Method

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This monograph is devoted to the further development of parametric weight Monte Carlo estimates for solving linear and nonlinear integral equations, radiation transfer equations, and boundary value problems, including problems with random parameters. The use of these estimates leads to the construction of new, effective Monte Carlo methods for calculating parametric multiple derivatives of solutions and for the main eigenvalues. The book opens with an introduction on the theory of weight Monte Carlo methods. The following chapters contain new material on solving boundary value problems with complex parameters, mixed problems to parabolic equations, boundary value problems of the second and third kind, and some improved techniques related to vector and nonlinear Helmholtz equations. Special attention is given to the foundation and optimization of the global 'walk on grid' method for solving the Helmholtz difference equation. Additionally, new Monte Carlo methods for solving stochastic radiation transfer problems are presented, including the estimation of probabilistic moments of corresponding critical parameters.k(xa#39;, x) (P\i, (r) Po(xa#39;, x) aquot; vpo for a physical collision and k(xa#39;, x) r am i o~ \-|4;(r) K(X, X ) [ alt;Tm , o~ \n* , , x = vv - (1 p)\ Po(xa#39;, x) lam - apo v alt;rm a#39;J for delta-scattering. The estimate by formulae (3.13) can be obtained here in the ordinary way; however, at a/am = const inZ); we can also ... Evidently, such averaging reduces to calculating power moments and requires much less information on the field p than itsanbsp;...

Title:Parametric Estimates by the Monte Carlo Method
Author: Gennadij Alekseevič Michajlov
Publisher:VSP - 1999

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