RUS  ENG
Full version
JOURNALS // Doklady Rossijskoj Akademii Nauk. Mathematika, Informatika, Processy Upravlenia // Archive

Dokl. RAN. Math. Inf. Proc. Upr., 2024 Volume 519, Pages 33–38 (Mi danma562)

MATHEMATICS

Study of the bias of $N$-particle estimates of the Monte Carlo method in problems with particle interaction

G. A. Mikhailovab, G. Z. Lotovaab, S. V. Rogazinskiiab

a Institute of Computational Mathematics and Mathematical Geophysics of Siberian Branch of Russian Academy of Sciences, Novosibirsk, Russia
b Novosibirsk State University, Novosibirsk, Russia

Abstract: The paper gives a theoretical and numerical justification of the bias with the $O(1/N)$ order for the $N$-particle statistical estimates of the functionals of the solution of nonlinear kinetic equations for the model with interaction of particle trajectories. An estimate of the coefficient in the corresponding bias formula is obtained.

Keywords: chaos propagation hypothesis, Monte Carlo method, Boltzmann equation, rarefied gas theory, SEIR epidemic model, single-particle density distribution, $N$-particle ensemble, $\delta$-continuity, Markov chain.

UDC: 519.676

Received: 02.07.2024
Revised: 09.09.2024
Accepted: 19.07.2024

DOI: 10.31857/S2686954324050076


 English version:
Doklady Mathematics, 2024, 110:2, 416–420

Bibliographic databases:


© Steklov Math. Inst. of RAS, 2026