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A new proof of geometric convergence for the adaptive generalized weighted analog sampling (GWAS) method
1Hyundai Capital America, 3161 Michelson Drive, Suite 1900, Irvine, CA 92612, USA.
Abstract:
Generalized Weighted Analog Sampling is a variance-reducing method for solving radiative transport problems that makes use of a biased (though asymptotically unbiased) estimator. The introduction of bias provides a mechanism for combining the best features of unbiased estimators while avoiding their limitations. In this paper we present a new proof that adaptive GWAS estimation based on combining the variance-reducing power of importance sampling with the sampling simplicity of correlated sampling yields geometrically convergent estimates of radiative transport solutions. The new proof establishes a stronger and more general theory of geometric convergence for GWAS.
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