Moment-preserving and mesh-adaptive reweighting method for rare-event sampling in Monte-Carlo algorithms

C. U. Schuster; T. Johnson; G. Papp; R. Bilato; S. Sipilä; J. Varje; M. Hasenöhrl

doi:10.1016/j.cpc.2021.108041

Moment-preserving and mesh-adaptive reweighting method for rare-event sampling in Monte-Carlo algorithms

C. U. Schuster^*, T. Johnson, G. Papp, R. Bilato, S. Sipilä, J. Varje, M. Hasenöhrl

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Abstrakti

We present novel roulette schemes for rare-event sampling that are both structure-preserving and unbiased. The boundaries where Monte Carlo markers are split and deleted are placed automatically and adapted during runtime. Extending existing codes with the new schemes is possible without severe changes because the equation of motion for the markers is not altered. These schemes can also be applied in the presence of nonlinear and nonlocal coupling between markers. As an illustrative application, we have implemented this method in the ASCOT-RFOF code, used to simulate fast-ion generation by radio-frequency waves in fusion plasmas. In this application, with this method the Monte-Carlo noise level for typical fast-ion energies can be reduced at least of one order of magnitude without increasing the computational effort.

Alkuperäiskieli	Englanti
Artikkeli	108041
Sivumäärä	12
Julkaisu	Computer Physics Communications
Vuosikerta	267
DOI - pysyväislinkit	https://doi.org/10.1016/j.cpc.2021.108041
Tila	Julkaistu - lokak. 2021
OKM-julkaisutyyppi	A1 Alkuperäisartikkeli tieteellisessä aikakauslehdessä

Rahoitus

We would like to thank Jakob Ameres, Roman Hatzky and Omar Maj for fruitful discussions. This work has been carried out within the framework of the EUROfusion Consortium and has received funding from the Euratom research and training programme 2014-2018 and 2019-2020 under grant agreement No 633053 . The views and opinions expressed herein do not necessarily reflect those of the European Commission.

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10.1016/j.cpc.2021.108041

https://arxiv.org/abs/2003.14048Lisenssi: CC BY-NC-ND

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title = "Moment-preserving and mesh-adaptive reweighting method for rare-event sampling in Monte-Carlo algorithms",

abstract = "We present novel roulette schemes for rare-event sampling that are both structure-preserving and unbiased. The boundaries where Monte Carlo markers are split and deleted are placed automatically and adapted during runtime. Extending existing codes with the new schemes is possible without severe changes because the equation of motion for the markers is not altered. These schemes can also be applied in the presence of nonlinear and nonlocal coupling between markers. As an illustrative application, we have implemented this method in the ASCOT-RFOF code, used to simulate fast-ion generation by radio-frequency waves in fusion plasmas. In this application, with this method the Monte-Carlo noise level for typical fast-ion energies can be reduced at least of one order of magnitude without increasing the computational effort.",

keywords = "Fokker-Planck, ICRH, Reweighting, Russian Roulette, Splitting, Variance reduction",

author = "Schuster, \{C. U.\} and T. Johnson and G. Papp and R. Bilato and S. Sipil{\"a} and J. Varje and M. Hasen{\"o}hrl",

note = "| openaire: EC/H2020/633053/EU//EUROfusion ",

year = "2021",

month = oct,

doi = "10.1016/j.cpc.2021.108041",

language = "English",

volume = "267",

journal = "Computer Physics Communications",

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TY - JOUR

T1 - Moment-preserving and mesh-adaptive reweighting method for rare-event sampling in Monte-Carlo algorithms

AU - Schuster, C. U.

AU - Johnson, T.

AU - Papp, G.

AU - Bilato, R.

AU - Sipilä, S.

AU - Varje, J.

AU - Hasenöhrl, M.

N1 - | openaire: EC/H2020/633053/EU//EUROfusion

PY - 2021/10

Y1 - 2021/10

N2 - We present novel roulette schemes for rare-event sampling that are both structure-preserving and unbiased. The boundaries where Monte Carlo markers are split and deleted are placed automatically and adapted during runtime. Extending existing codes with the new schemes is possible without severe changes because the equation of motion for the markers is not altered. These schemes can also be applied in the presence of nonlinear and nonlocal coupling between markers. As an illustrative application, we have implemented this method in the ASCOT-RFOF code, used to simulate fast-ion generation by radio-frequency waves in fusion plasmas. In this application, with this method the Monte-Carlo noise level for typical fast-ion energies can be reduced at least of one order of magnitude without increasing the computational effort.

AB - We present novel roulette schemes for rare-event sampling that are both structure-preserving and unbiased. The boundaries where Monte Carlo markers are split and deleted are placed automatically and adapted during runtime. Extending existing codes with the new schemes is possible without severe changes because the equation of motion for the markers is not altered. These schemes can also be applied in the presence of nonlinear and nonlocal coupling between markers. As an illustrative application, we have implemented this method in the ASCOT-RFOF code, used to simulate fast-ion generation by radio-frequency waves in fusion plasmas. In this application, with this method the Monte-Carlo noise level for typical fast-ion energies can be reduced at least of one order of magnitude without increasing the computational effort.

KW - Fokker-Planck

KW - ICRH

KW - Reweighting

KW - Russian Roulette

KW - Splitting

KW - Variance reduction

UR - https://www.scopus.com/pages/publications/85108188163

U2 - 10.1016/j.cpc.2021.108041

DO - 10.1016/j.cpc.2021.108041

M3 - Article

AN - SCOPUS:85108188163

SN - 0010-4655

VL - 267

JO - Computer Physics Communications

JF - Computer Physics Communications

M1 - 108041

ER -

Moment-preserving and mesh-adaptive reweighting method for rare-event sampling in Monte-Carlo algorithms

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