Accelerating Convergence in Stochastic P
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Richard R. Picard; Mark Fitzgerald; Michael J. Brown
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Article
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2001
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Elsevier Science
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English
⚖ 181 KB
Recent work in adaptive importance sampling is applied to Markov chain models for Monte Carlo simulations. When this technique is incorporated into the simulation of physical processes, it can give orders-of-magnitude improvement in convergence times relative to standard approaches. We review the re