VARIANCE REDUCED SIMULATIONS OF STOCHASTIC DIFFERENTIAL-EQUATIONS

被引：29
|
作者：
MELCHIOR, M
OTTINGER, HC
机构：
[1] Institut für Polymere, Eidgenössische Technische Hochschule Zürich, ETH-Zentrum
来源：
JOURNAL OF CHEMICAL PHYSICS | 1995年 / 103卷 / 21期
关键词：
D O I：
10.1063/1.469961
中图分类号：
O64 [物理化学（理论化学）、化学物理学];
学科分类号：
070304 ; 081704 ;
摘要：
Stochastic simulations are made more efficient by variance reduction techniques. Our construction of variance reduced simulations is based on importance sampling, and it requires approximate information about the simulated process. Results for Hookean dumbbells with hydrodynamic interaction are presented, where variances are reduced by up to two orders of magnitude. (C) 1995 American Institute of Physics.
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页码：9506 / 9509
页数：4
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