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Ex Post Facto Monte Carlo Variance Reduction
Volume 148 · Number 3 · November 2004 · Pages 391-402
Technical Paper
Thomas E. Booth
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The variance in Monte Carlo particle transport calculations is often dominated by a few particles whose importance increases manyfold on a single transport step. This paper describes a novel variance reduction method that uses a large importance change as a trigger to resample the offending transport step. That is, the method is employed only after (ex post facto) a random walk attempts a transport step that would otherwise introduce a large variance in the calculation.
Improvements in two Monte Carlo transport calculations are demonstrated empirically using an ex post facto method. First, the method is shown to reduce the variance in a penetration problem with a cross-section window. Second, the method empirically appears to modify a point detector estimator from an infinite variance estimator to a finite variance estimator.
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