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Doklady Mathematics

, Volume 98, Issue 2, pp 448–451 | Cite as

Optimization of Randomized Monte Carlo Algorithms for Solving Problems with Random Parameters

  • G. A. Mikhailov
Mathematics
  • 2 Downloads

Abstract

Randomized Monte Carlo algorithms intended for statistical kernel estimation of the averaged solution to a problem with random baseline parameters are optimized. For this purpose, a criterion for the complexity of a functional Monte Carlo estimate is formulated. The algorithms involve a splitting method in which, for each realization of the parameters, a certain number of trajectories of the corresponding baseline process are constructed.

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Copyright information

© Pleiades Publishing, Ltd. 2018

Authors and Affiliations

  1. 1.Institute of Computational Mathematics and Mathematical Geophysics, Siberian BranchRussian Academy of SciencesNovosibirskRussia
  2. 2.Novosibirsk State UniversityNovosibirskRussia

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