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Simulation with Fluctuating and Singular Rates

Published online by Cambridge University Press:  03 June 2015

Farzin Barekat*
Affiliation:
Mathematics Department, University of California at Los Angeles, Los Angeles, CA 90095-1555, USA
Russel Caflisch*
Affiliation:
Mathematics Department, University of California at Los Angeles, Los Angeles, CA 90095-1555, USA
*Corresponding
Corresponding author.Email:caflisch@math.ucla.edu
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Abstract

In this paper we present a method to generate independent samples for a general random variable, either continuous or discrete. The algorithm is an extension of the Acceptance-Rejection method, and it is particularly useful for kinetic simulation in which the rates are fluctuating in time and have singular limits, as occurs for example in simulation of recombination interactions in a plasma. Although it depends on some additional requirements, the new method is easy to implement and rejects less samples than the Acceptance-Rejection method.

Type
Research Article
Copyright
Copyright © Global Science Press Limited 2014

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