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Title: Interpretation of conditional Monte Carlo as a form of importance sampling

Abstract

Conditional Monte Carlo has been recognized as a potentially useful method in various Monte Carlo applications. It seems, however, that the method has not gained widespread popularity, presumably due to the complexity involved in the formulation and operation of the technique. An original and simplified approach to conditional Monte Carlo is presented in which it is interpreted as a modified form of importance sampling. This approach provides a straightforward framework by which any conditional sampling problem can be handled. The benefits are demonstrated by applying the approach to two problems: one of a general statistical nature and the other concerning the neutron transport equation.

Authors:
;
Publication Date:
Research Org.:
Ben Gurion University of the Negev, Beersheva, Israel
OSTI Identifier:
6837078
Alternate Identifier(s):
OSTI ID: 6837078
Resource Type:
Journal Article
Journal Name:
SIAM J. Appl. Math.; (United States)
Additional Journal Information:
Journal Volume: 36:1
Country of Publication:
United States
Language:
English
Subject:
73 NUCLEAR PHYSICS AND RADIATION PHYSICS; 99 GENERAL AND MISCELLANEOUS//MATHEMATICS, COMPUTING, AND INFORMATION SCIENCE; MONTE CARLO METHOD; NEUTRON TRANSPORT THEORY; SAMPLING; STATISTICS; MATHEMATICS; TRANSPORT THEORY 654003* -- Radiation & Shielding Physics-- Neutron Interactions with Matter; 990200 -- Mathematics & Computers

Citation Formats

Dubi, A., and Horowitz, Y.S. Interpretation of conditional Monte Carlo as a form of importance sampling. United States: N. p., 1979. Web. doi:10.1137/0136011.
Dubi, A., & Horowitz, Y.S. Interpretation of conditional Monte Carlo as a form of importance sampling. United States. doi:10.1137/0136011.
Dubi, A., and Horowitz, Y.S. Thu . "Interpretation of conditional Monte Carlo as a form of importance sampling". United States. doi:10.1137/0136011.
@article{osti_6837078,
title = {Interpretation of conditional Monte Carlo as a form of importance sampling},
author = {Dubi, A. and Horowitz, Y.S.},
abstractNote = {Conditional Monte Carlo has been recognized as a potentially useful method in various Monte Carlo applications. It seems, however, that the method has not gained widespread popularity, presumably due to the complexity involved in the formulation and operation of the technique. An original and simplified approach to conditional Monte Carlo is presented in which it is interpreted as a modified form of importance sampling. This approach provides a straightforward framework by which any conditional sampling problem can be handled. The benefits are demonstrated by applying the approach to two problems: one of a general statistical nature and the other concerning the neutron transport equation.},
doi = {10.1137/0136011},
journal = {SIAM J. Appl. Math.; (United States)},
number = ,
volume = 36:1,
place = {United States},
year = {1979},
month = {2}
}