Perfect and ε-perfect simulation methods for the one-dimensional Kac equation

Corcoran Jem N. (), Jennings Dale () and VaughanMiller Paul ()
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Corcoran Jem N.: Department of Applied Mathematics,University of Colorado, Box 526, Boulder CO 80309-0526, USA
Jennings Dale: Department of Applied Mathematics,University of Colorado, Box 526, CO 80309-0526, USA
VaughanMiller Paul: Department of Applied Mathematics,University of Colorado, Box 526, CO 80309-0526, USA

Monte Carlo Methods and Applications, 2016, vol. 22, issue 4, 291-305

Abstract: We review the derivation of the Kac master equation model for random collisions of particles, its relationship to the Poisson process, and existing algorithms for simulating values from the marginal distribution of velocity for a single particle at any given time. We describe and implement a new algorithm that efficiently and more fully leverages properties of the Poisson process, show that it performs at least as well as existing methods, and give empirical evidence that it may perform better at capturing the tails of the single particle velocity distribution. Finally, we derive and implement a novel “ε-perfect sampling” algorithm for the limiting marginal distribution as time goes to infinity. In this case the importance is a proof of concept that has the potential to be expanded to more interesting (DSMC) direct simulation Monte Carlo applications.

Keywords: MCMC; Kac model; rarefied gas flows; perfect simulation; DSMC (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1515/mcma-2016-0114

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