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Title: The alias method: A fast, efficient Monte Carlo sampling technique

Abstract

The alias method is a Monte Carlo sampling technique that offers significant advantages over more traditional methods. It equals the accuracy of table lookup and the speed of equal probable bins. The original formulation of this method sampled from discrete distributions and was easily extended to histogram distributions. We have extended the method further to applications more germane to Monte Carlo particle transport codes: continuous distributions. This paper presents the alias method as originally derived and our extensions to simple continuous distributions represented by piecewise linear functions. We also present a method to interpolate accurately between distributions tabulated at points other than the point of interest. We present timing studies that demonstrate the method's increased efficiency over table lookup and show further speedup achieved through vectorization. 6 refs., 2 figs., 1 tab.

Authors:
;  [1];  [2]
  1. Lawrence Livermore National Lab., CA (USA)
  2. California Polytechnic State Univ., San Luis Obispo, CA (USA)
Publication Date:
Research Org.:
Lawrence Livermore National Lab., CA (USA)
Sponsoring Org.:
DOE/DP
OSTI Identifier:
6309887
Report Number(s):
UCRL-JC-105535; CONF-9011149-9
ON: DE91006244
DOE Contract Number:  
W-7405-ENG-48
Resource Type:
Conference
Resource Relation:
Conference: 1990 nuclear explosives code developers' conference, Monterey, CA (USA), 6-9 Nov 1990
Country of Publication:
United States
Language:
English
Subject:
71 CLASSICAL AND QUANTUM MECHANICS, GENERAL PHYSICS; 45 MILITARY TECHNOLOGY, WEAPONRY, AND NATIONAL DEFENSE; 99 GENERAL AND MISCELLANEOUS//MATHEMATICS, COMPUTING, AND INFORMATION SCIENCE; MONTE CARLO METHOD; NUMERICAL SOLUTION; ALGORITHMS; CALCULATION METHODS; CRAY COMPUTERS; DISTRIBUTION; EFFICIENCY; INTERPOLATION; COMPUTERS; MATHEMATICAL LOGIC; 657000* - Theoretical & Mathematical Physics; 450200 - Military Technology, Weaponry, & National Defense- Nuclear Explosions & Explosives; 990200 - Mathematics & Computers

Citation Formats

Rathkopf, J A, Edwards, A L, and Smidt, R K. The alias method: A fast, efficient Monte Carlo sampling technique. United States: N. p., 1990. Web.
Rathkopf, J A, Edwards, A L, & Smidt, R K. The alias method: A fast, efficient Monte Carlo sampling technique. United States.
Rathkopf, J A, Edwards, A L, and Smidt, R K. Fri . "The alias method: A fast, efficient Monte Carlo sampling technique". United States. https://www.osti.gov/servlets/purl/6309887.
@article{osti_6309887,
title = {The alias method: A fast, efficient Monte Carlo sampling technique},
author = {Rathkopf, J A and Edwards, A L and Smidt, R K},
abstractNote = {The alias method is a Monte Carlo sampling technique that offers significant advantages over more traditional methods. It equals the accuracy of table lookup and the speed of equal probable bins. The original formulation of this method sampled from discrete distributions and was easily extended to histogram distributions. We have extended the method further to applications more germane to Monte Carlo particle transport codes: continuous distributions. This paper presents the alias method as originally derived and our extensions to simple continuous distributions represented by piecewise linear functions. We also present a method to interpolate accurately between distributions tabulated at points other than the point of interest. We present timing studies that demonstrate the method's increased efficiency over table lookup and show further speedup achieved through vectorization. 6 refs., 2 figs., 1 tab.},
doi = {},
journal = {},
number = ,
volume = ,
place = {United States},
year = {1990},
month = {11}
}

Conference:
Other availability
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