| Autor: |
Medvedev, Ilia N. |
| Předmět: |
|
| Zdroj: |
Russian Journal of Numerical Analysis & Mathematical Modelling; Dec2016, Vol. 31 Issue 6, p379-385, 7p |
| Abstrakt: |
The weighted method of similar trajectories (MST) allows one to construct estimators of functionals on a single Markov chain simultaneously for a given range of parameters of the problem. Choosing an appropriate Markov chain, we take into account additional conditions providing the finiteness of MST variance. A modification of the weighted MST with branching of chain trajectory is constructed in the paper according to the parametric maximum of the auxiliary weight. It is proved that the computational cost of this algorithm is bounded if the basis functionals are also bounded. Numerical study of the eciency of the modified MST in comparison with analog modellingwas carried out on the example of the standard problem of transfer theory on estimation of the probability of albedo and transmission of a particle. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
|
