scholarly journals Importance sampling variance reduction for the Fokker–Planck rarefied gas particle method

2016 ◽  
Vol 325 ◽  
pp. 116-128 ◽  
Author(s):  
B.S. Collyer ◽  
C. Connaughton ◽  
D.A. Lockerby
2019 ◽  
Vol 23 ◽  
pp. 893-921
Author(s):  
H. Chraibi ◽  
A. Dutfoy ◽  
T. Galtier ◽  
J. Garnier

In order to assess the reliability of a complex industrial system by simulation, and in reasonable time, variance reduction methods such as importance sampling can be used. We propose an adaptation of this method for a class of multi-component dynamical systems which are modeled by piecewise deterministic Markovian processes (PDMP). We show how to adapt the importance sampling method to PDMP, by introducing a reference measure on the trajectory space. This reference measure makes it possible to identify the admissible importance processes. Then we derive the characteristics of an optimal importance process, and present a convenient and explicit way to build an importance process based on theses characteristics. A simulation study compares our importance sampling method to the crude Monte-Carlo method on a three-component systems. The variance reduction obtained in the simulation study is quite spectacular.


Author(s):  
M. Hossein Gorji ◽  
Stephan Küchlin ◽  
Patrick Jenny

In this work, we present a hybrid algorithm based on the Fokker-Planck (FP) kinetic model and direct simulation Monte Carlo (DSMC) for studies of rarefied gas flows. A particle based FP solution algorithm for rarefied gas flow simulations has recently been devised by the authors. The motivation behind the FP approximation is purely computational, i.e. due to the fact that the resulting random processes are continuous in time the computational cost of the corresponding time integration becomes independent of the Knudsen number. However, the method faces limitations for flows with very high Knudsen numbers (larger than approximately 5). In the method presented here, the FP approach is coupled with DSMC in order to gain from the efficiency of the FP model and from the accuracy of DSMC at small and large cell based Knudsen numbers, respectively.


Author(s):  
Ximing Li ◽  
Changchun Li ◽  
Jinjin Chi ◽  
Jihong Ouyang

Overdispersed black-box variational inference employs importance sampling to reduce the variance of the Monte Carlo gradient in black-box variational inference. A simple overdispersed proposal distribution is used. This paper aims to investigate how to adaptively obtain better proposal distribution for lower variance. To this end, we directly approximate the optimal proposal in theory using a Monte Carlo moment matching step at each variational iteration. We call this adaptive proposal moment matching proposal (MMP). Experimental results on two Bayesian models show that the MMP can effectively reduce variance in black-box learning, and perform better than baseline inference algorithms.


Vacuum ◽  
2020 ◽  
Vol 181 ◽  
pp. 109736
Author(s):  
Amirmehran Mahdavi ◽  
Ehsan Roohi

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