Commun. Comput. Phys., 16 (2014), pp. 287-306.


Simulation with Fluctuating and Singular Rates

Farzin Barekat 1, Russel Caflisch 1*

1 Mathematics Department, University of California at Los Angeles, Los Angeles, CA 90095-1555, USA.

Received 30 March 2013; Accepted (in revised version) 13 January 2014
Available online 17 April 2014
doi:10.4208/cicp.300313.130114a

Abstract

In this paper we present a method to generate independent samples for a general random variable, either continuous or discrete. The algorithm is an extension of the Acceptance-Rejection method, and it is particularly useful for kinetic simulation in which the rates are fluctuating in time and have singular limits, as occurs for example in simulation of recombination interactions in a plasma. Although it depends on some additional requirements, the new method is easy to implement and rejects less samples than the Acceptance-Rejection method.

AMS subject classifications: 65C05, 82B80, 82D10

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Key words: Sampling, Monte Carlo, Acceptance

*Corresponding author.
Email: fbarekat@math.ucla.edu (F. Barekat), caflisch@math.ucla.edu (R. Caflisch)
 

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