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Convergence issues in derivatives of Monte Carlo null-collision integral formulations: a solution

Abstract : When a Monte Carlo algorithm is used to evaluate a physical observable A, it is possible to slightly modify thealgorithm so that it evaluates simultaneously A and the derivatives ∂ς A of A with respect to each problem-parameter ς. The principle is the following: Monte Carlo considers A as the expectation of a random variable, this expectation is an integral, this integral can be derivated as function of the problem-parameter to give a new integral, and this new integral can in turn be evaluated using Monte Carlo. The two Monte Carlo computations (of A and ∂ς A) are simultaneous when they make use of the same random samples, i.e. when the two integrals have the exact samestructure. It was proven theoretically that this was always possible, but nothing ensures that the two estimators have the same convergence properties: even when a large enough sample-size is used so that A is evaluated very accurately,the evaluation of ∂ς A using the same sample can remain inaccurate. We discuss here such a pathological example:null-collision algorithms are very successful when dealing with radiative transfer in heterogeneous media, but they are sources of convergence difficulties as soon as sensitivity-evaluations are considered. We analyse theoreticallythese convergence difficulties and propose an alternative solution.
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Submitted on : Friday, July 10, 2020 - 9:27:06 AM
Last modification on : Tuesday, May 4, 2021 - 3:24:42 PM
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Jean-Marc Tregan, Stéphane Blanco, Jérémi Dauchet, Mouna El-Hafi, Richard Fournier, et al.. Convergence issues in derivatives of Monte Carlo null-collision integral formulations: a solution. Journal of Computational Physics, Elsevier, 2020, 413, pp.1-20/109463. ⟨10.1016/⟩. ⟨hal-02546081⟩



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