Weight optimization in multichannel Monte Carlo
Abstract
We discuss the improvement in the accuracy of a Monte Carlo integration that can be obtained by optimization of the apriori weights of the various channels. These channels may be either the strata in a stratifiedsampling approach, or the several 'approximate' distributions such as are used in event generators for particle phenomenology. The optimization algorithm does not require any initialization, and each Monte Carlo integration point can be used in the evaluation of the integral. We describe our experience with this method in a realistic problem, where an effective increase in program speed by almost an order of magnitude is observed.
 Publication:

Computer Physics Communications
 Pub Date:
 December 1994
 DOI:
 10.1016/00104655(94)900434
 arXiv:
 arXiv:hepph/9405257
 Bibcode:
 1994CoPhC..83..141K
 Keywords:

 High Energy Physics  Phenomenology
 EPrint:
 8 pages in LaTeX (figure file apwfig.eps appended), NIKHEF/Leiden preprint NIKHEFH94/17, INLOPUB4/94