Variable-step-length algorithms for a random walk: hitting probability and computation performance
Statistical Mechanics
2019-04-17 v2
Abstract
We present a comparative study of several algorithms for an in-plane random walk with a variable step. The goal is to check the efficiency of the algorithm in the case where the random walk terminates at some boundary. We recently found that a finite step of the random walk produces a bias in the hitting probability and this bias vanishes in the limit of an infinitesimal step. Therefore, it is important to know how a change in the step size of the random walk influences the performance of simulations. We propose an algorithm with the most effective procedure for the step-length-change protocol.
Cite
@article{arxiv.1811.03788,
title = {Variable-step-length algorithms for a random walk: hitting probability and computation performance},
author = {Olga Klimenkova and Anton Yu. Menshutin and Lev N. Shchur},
journal= {arXiv preprint arXiv:1811.03788},
year = {2019}
}
Comments
8 pages, 2 figures