Variance Reduction Techniques

Publication year: 2012
Source: Exploring Monte Carlo Methods, 2012, Pages 97-132

William L., Dunn , J. Kenneth, Shultis

 Summary: The concept and importance of using biased MC games to decrease the variance of MC scores is introduced. General techniques include the following: problem transformations, truncation methods, modified sampling, tally modification, and incorporation of partially deterministic methods. Details of several widely used modified sampling techniques are examined for reducing the tally variance. Particularly examined are importance sampling, systematic sampling, stratified sampling, correlated sampling, use of antithetic variates, partition of the integration volume, dimensionality reduction, and Russian roulette and splitting. The use of combinations of different variance reduction techniques is discussed. Finally, techniques such as use of biased estimators, improved quadrature…