Statistical weights as variance reduction method in back-scattered gamma radiation Monte Carlo spectrometry analysis of thickness gauge detector response

Value at Risk (VaR) is a method to measure the maximum loss with a certain level of confidence in a certain period. Monte Carlo simulation is the most popular method of calculating VaR. The purpose of this study is to demonstrate control variates method as a variance reduction method that can be applied to estimate VaR. Moreover, it is to compare the results with the normal VaR method or analytical VaR calculation. Control variates method was used to find new returns from all stocks which are used as estimators of the control variates. The new returns were then used to define parameters needed to generate N random numbers. Furthermore, the generated numbers were used to find the VaR value. The method was then applied to estimate a portfolio of the game and esports company stocks that are EA, TTWO, AESE, TCEHY, and ATVI . The results show Monte Carlo simulation gives VaR of US$41.6428 within 1000 simulation, while the analytical VaR calculation or normal VaR method gives US$30.0949.

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Optimization of a Monte Carlo variance reduction method based on sensitivity derivatives

Applied Numerical Mathematics ◽

10.1016/j.apnum.2013.06.005 ◽

2013 ◽

Vol 72 ◽

pp. 160-171 ◽

Cited By ~ 6

Author(s):

Yaning Liu ◽

M. Yousuff Hussaini ◽

Giray Ökten

Keyword(s):

Monte Carlo ◽

Variance Reduction ◽

Reduction Method ◽

Sensitivity Derivatives

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Analysis of the LIFT Variance-Reduction Method Applied to Monte Carlo Radiation Transport Simulations of a Realistic Nonproliferation Test Problem

Nuclear Technology ◽

10.13182/nt15-43 ◽

2016 ◽

Vol 193 (3) ◽

pp. 391-403

Author(s):

Elanchezhian Somasundaram ◽

Todd S. Palmer

Keyword(s):

Monte Carlo ◽

Test Problem ◽

Variance Reduction ◽

Reduction Method ◽

Radiation Transport

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Concerned Items on Variance Reduction Method of Monte Carlo Calculation Written in Published Literatures

Transactions of the Atomic Energy Society of Japan ◽

10.3327/taesj2002.4.219 ◽

2005 ◽

Vol 4 (3) ◽

pp. 219-226

Author(s):

Kiyoshi SAKURAI ◽

Toshihiro YAMAMOTO

Keyword(s):

Monte Carlo ◽

Variance Reduction ◽

Reduction Method ◽

Monte Carlo Calculation

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APPLICATION OF THE SPECTROMETRIC METHOD FOR CALCULATING THE DOSE RATE FOR CREATING CALIBRATION HIGHLY SENSITIVE INSTRUMENTS BASED ON SCINTILLATION DETECTION UNITS

Devices and Methods of Measurements ◽

10.21122/2220-9506-2017-8-3-246-253 ◽

2017 ◽

Vol 8 (3) ◽

pp. 246-253 ◽

Cited By ~ 1

Author(s):

R. V. Lukashevich ◽

G. A. Fokov

Keyword(s):

Monte Carlo ◽

Gamma Radiation ◽

Dose Rate ◽

Integral Transformation ◽

Photon Radiation ◽

Detector Response ◽

Spectrometric Method ◽

Scintillation Detection ◽

Highly Sensitive ◽

Wide Range

Devices based on scintillation detector are highly sensitive to photon radiation and are widely used to measure the environment dose rate. Modernization of the measuring path to minimize the error in measuring the response of the detector to gamma radiation has already reached its technological ceiling and does not give the proper effect. More promising for this purpose are new methods of processing the obtained spectrometric information. The purpose of this work is the development of highly sensitive instruments based on scintillation detection units using a spectrometric method for calculating dose rate.In this paper we consider the spectrometric method of dosimetry of gamma radiation based on the transformation of the measured instrumental spectrum. Using predetermined or measured functions of the detector response to the action of gamma radiation of a given energy and flux density, a certain function of the energy G(E) is determined. Using this function as the core of the integral transformation from the field to dose characteristic, it is possible to obtain the dose value directly from the current instrumentation spectrum. Applying the function G(E) to the energy distribution of the fluence of photon radiation in the environment, the total dose rate can be determined without information on the distribution of radioisotopes in the environment.To determine G(E) by Monte-Carlo method instrumental response function of the scintillator detector to monoenergetic photon radiation sources as well as other characteristics are calculated. Then the whole full-scale energy range is divided into energy ranges for which the function G(E) is calculated using a linear interpolation.Spectrometric method for dose calculation using the function G(E), which allows the use of scintillation detection units for a wide range of dosimetry applications is considered in the article. As well as describes the method of calculating this function by using Monte-Carlo methods and the features of its application. The results of the calculation function G(E) for the detection unit on the basis of NaI(Tl) detector (Ø40 mm, h = 40 mm) to use it as a comparator for kerma rate in the air certification of low intenseе photon radiation fields.

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