Zero-Variance Solutions for Linear Monte Carlo

Thomas E. Booth

doi:dx.doi.org/10.13182/NSE89-A23646

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Home / Publications / Journals / Nuclear Science and Engineering / Volume 102 / Number 4

Zero-Variance Solutions for Linear Monte Carlo

Thomas E. Booth

Nuclear Science and Engineering / Volume 102 / Number 4 / August 1989 / Pages 332-340

Technical Paper / dx.doi.org/10.13182/NSE89-A23646

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A zero-variance solution exists for any linear Monte Carlo problem, and this solution can be obtained by sampling the random numbers proportional to the expected score subsequently produced by using these random numbers in the random walk.