Accuracy and convergence of the backward Monte-Carlo method

Details Accuracy and convergence of the backward Monte-Carlo method Accuracy and convergence of the backward Monte-Carlo method

2001-02-12

arxiv.org/abs/math/0102094v1

Mathematics

Numerical Analysis

14 pages, 9 figures. Submitted to Computer Physics Communications

Scientific paper

The recently introduced backward Monte-Carlo method [Johan Carlsson, arXiv:math.NA/0010118] is validated, benchmarked, and compared to the conventional, forward Monte-Carlo method by analyzing the error in the Monte-Carlo solutions to a simple model equation. In particular, it is shown how the backward method reduces the statistical error in the common case where the solution is of interest in only a small part of phase space. The forward method requires binning of particles, and linear interpolation between the bins introduces an additional error. Reducing this error by decreasing the bin size increases the statistical error. The backward method is not afflicted by this conflict. Finally, it is shown how the poor time convergence can be improved for the backward method by a minor modification of the Monte-Carlo equation of motion that governs the stochastic particle trajectories. This scheme does not work for the conventional, forward method.

Affiliated with

Also associated with

No associations

Rating

Accuracy and convergence of the backward Monte-Carlo method does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Accuracy and convergence of the backward Monte-Carlo method, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Accuracy and convergence of the backward Monte-Carlo method will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-146369