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The document promotes the ebook 'Monte Carlo Methods for Particle Transport' by Alireza Haghighat, providing download links and ISBN information. It includes endorsements from experts highlighting its value for students and professionals in nuclear engineering. Additionally, it lists several related ebooks available for download on the same website.

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Nuclear physics

Haghighat
Monte Carlo Methods
“This is an outstanding reference and textbook on applied stochastic methods. It
is a must-have for scientists, students, and practitioners interested in Monte Carlo
methods for solving particle transport problems. This book provides an excellent
description of the fundamentals through numerous example problems and a rich

for Particle Transport


discussion of advantages and pitfalls of the Monte Carlo method. The chapter

Monte Carlo Methods for Particle Transport


on solving eigenvalue problems is long overdue, where diagnosing convergence
of the fission source in reactor physics problems with high dominance ratio is
challenging and as a result has been a subject of much research.”
—Farzad Rahnema, Georgia Institute of Technology, Atlanta, USA

“This is a very solid book for graduate students in nuclear engineering to learn how
the Monte Carlo method can be used to solve reactor physics problems. It covers
the fundamentals of Monte Carlo simulations before discussing how the technique
can be used to solve fixed and fission sources of neutron transport problems.
Excellent examples are provided in the main text, in addition to a complete set of
homework problems at the end of each chapter. This makes it an ideal textbook for
those teaching a course on simulation methods in reactor physics.”
—G. Marleau, École Polytechnique de Montréal, Québec, Canada

“Professor Haghighat has succeeded in writing a book that is concise, but also
includes all ingredients in the Monte Carlo method. … [This book is] an excellent
addition to the bookshelf of teachers, students, researchers, and practitioners in the
field of nuclear reactor design and radiation shielding applications.”
—Nam Zin Cho, Korea Advanced Institute of Science and Technology,
Daejeon, South Korea

Alireza Haghighat
K20567
6000 Broken Sound Parkway, NW
Suite 300, Boca Raton, FL 33487 ISBN: 978-1-4665-9253-7
711 Third Avenue
New York, NY 10017 90000
an informa business 2 Park Square, Milton Park
www.crcpress.com Abingdon, Oxon OX14 4RN, UK

9 781466 592537
w w w.crcpress.com

K20567 mech rev.indd 1 10/15/14 8:20 AM


Monte Carlo Methods
for Particle Transport

K20567_Book.indb 1 10/24/14 12:15 PM


This page intentionally left blank
Monte Carlo Methods
for Particle Transport

Alireza Haghighat

K20567_Book.indb 3 10/24/14 12:15 PM


CRC Press
Taylor & Francis Group
6000 Broken Sound Parkway NW, Suite 300
Boca Raton, FL 33487-2742
© 2015 by Taylor & Francis Group, LLC
CRC Press is an imprint of Taylor & Francis Group, an Informa business

No claim to original U.S. Government works


Version Date: 20141014

International Standard Book Number-13: 978-1-4665-9254-4 (eBook - PDF)

This book contains information obtained from authentic and highly regarded sources. Reasonable
efforts have been made to publish reliable data and information, but the author and publisher cannot
assume responsibility for the validity of all materials or the consequences of their use. The authors and
publishers have attempted to trace the copyright holders of all material reproduced in this publication
and apologize to copyright holders if permission to publish in this form has not been obtained. If any
copyright material has not been acknowledged please write and let us know so we may rectify in any
future reprint.

Except as permitted under U.S. Copyright Law, no part of this book may be reprinted, reproduced,
transmitted, or utilized in any form by any electronic, mechanical, or other means, now known or
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Visit the Taylor & Francis Web site at
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I would like dedicate this book to
my wife, son, and mother.

K20567_Book.indb 5 10/24/14 12:15 PM


This page intentionally left blank
Contents

Acknowledgments xv
About the author xvii

1 Introduction 1

1.1 History of Monte Carlo simulation 1


1.2 Status of Monte Carlo codes 4
1.3 Motivation for writing this book 4
1.4 Overview of the book 5
1.5 Recommendations to instructors 8
1.6 Author’s expectation 9
References 9

2 Random variables and sampling 11

2.1 Introduction 11
2.2 Random variables 12
2.2.1 Discrete random variable 12
2.2.2 Continuous random variable 13
2.2.3 Notes on pdf and cdf characteristics 15
2.3 Random numbers 15
2.4 Derivation of the fundamental formulation of
Monte Carlo (FFMC) 16
2.5 Sampling one-dimensional density functions 18
2.5.1 Analytical inversion 18

vii

K20567_Book.indb 7 10/24/14 12:15 PM


viii Contents

2.5.2 Numerical inversion 18


2.5.3 Probability mixing method 20
2.5.4 Rejection technique 21
2.5.5 Numerical evaluation 22
2.5.6 Table lookup 23
2.6 Sampling multidimensional density functions 24
2.7 Example procedures for sampling a few
commonly used distributions 26
2.7.1 Normal distribution 27
2.7.2 Watt spectrum 28
2.7.3 Cosine and sine function sampling 29
2.8 Remarks 29
References 30
Problems 30

3 Random number generation (RNG) 35

3.1 Introduction 35
3.2 Random number generation approaches 36
3.3 Pseudorandom number generators (PRNGs) 38
3.3.1 Congruential generators 38
3.3.2 Multiple recursive generator 45
3.4 Testing randomness 47
3.4.1 χ2-test 47
3.4.2 Frequency test 49
3.4.3 Serial test 49
3.4.4 Gap test 49
3.4.5 Poker test 49
3.4.6 Moment test 49
3.4.7 Serial correlation test 50
3.4.8 Serial test via plotting 50
3.5 Examples for PRNG tests 50
3.5.1 Evaluation of prng based on period
and average 50
3.5.2 Serial test via plotting 53
3.6 Remarks 55
References 55
Problems 56

4 Fundamentals of probability and statistics 59

4.1 Introduction 59
4.2 Expectation value 60
4.2.1 One-dimensional density function 60

K20567_Book.indb 8 10/24/14 12:15 PM


Contents ix

4.2.2 Multidimensional density function 62


4.2.3 Useful theorems associated with the
“true variance” 63
4.3 Definition of sample expectation values
used in statistics 63
4.3.1 Sample mean 63
4.3.2 Expected value of the sample variance 64
4.4 Precision and accuracy of a statistical process 66
4.4.1 Uniform distribution 67
4.4.2 Bernoulli and binomial distributions 67
4.4.3 Geometric distribution 71
4.4.4 Poisson distribution 72
4.4.5 Normal (“Gaussian”) distribution 74
4.5 Limit theorems and their applications 81
4.5.1 Corollary to the de moivre–laplace
limit theorem 81
4.5.2 Central limit theorem 85
4.6 Formulations of uncertainty and relative error
for a random process 88
4.6.1 General random process 88
4.6.2 Special case of a Bernoulli process 89
4.7 Confidence interval for finite sampling 90
4.7.1 Introduction to Student’s t-distribution 90
4.7.2 Determination of confidence interval
and application of the t-distribution 92
4.8 Test of normality of distribution 93
4.8.1 Test of skewness coefficient 93
4.8.2 Shapiro–Wilk test for normality 93
References 94
Problems 94

5 Integrals and associated variance reduction


techniques 99

5.1 Introduction 99
5.2 Estimation of integrals 100
5.3 Variance reduction techniques associated with
integrals 101
5.3.1 Importance sampling 102
5.3.2 Correlation sampling technique 106
5.3.3 Stratified sampling technique 107
5.3.4 Combined sampling 118

K20567_Book.indb 9 10/24/14 12:15 PM


x Contents

5.4 Remarks 119


References 119
Problems 119

6 Fixed-source Monte Carlo particle transport 121

6.1 Introduction 121


6.2 Introduction to the linear Boltzmann equation 122
6.3 Introduction to the Monte Carlo method 124
6.3.1 Determination of free flight, i.e.,
path length 124
6.3.2 Selection of interaction type 126
6.3.3 Selection of scattering angle 127
6.4 A Monte Carlo algorithm for estimation of
transmitted particles 130
6.5 Perturbation calculations via correlated
sampling 132
6.6 Analysis of Monte Carlo results 133
6.7 Remarks 135
References 135
Problems 136

7 Variance reduction techniques in particle


transport 139

7.1 Introduction 139


7.2 Effectiveness of variance reduction algorithms 140
7.3 Biasing of density functions 141
7.3.1 Implicit capture (or survival biasing) 141
7.3.2 Russian roulette 142
7.3.3 Biasing the path length to the next
collision 142
7.3.4 Exponential transformation 143
7.3.5 Forced collision 144
7.4 Splitting techniques 145
7.4.1 Geometric splitting with Russian
roulette 146
7.4.2 Energy splitting with Russian roulette 147
7.4.3 Angular splitting with Russian roulette 148
7.4.4 Weight-window technique 148

K20567_Book.indb 10 10/24/14 12:15 PM


Contents xi

7.5 Application of combination of importance


sampling, pdf biasing, and splitting technique
in particle transport 148
7.5.1 Importance (adjoint) function
methodology in deterministic
transport theory 149
7.5.2 Determination of detector response 150
7.5.3 Use of deterministic importance
(adjoint) function for importance
sampling 151
7.6 Remarks 155
References 155
Problems 157

8 Tallying 161

8.1 Introduction 161


8.2 Major quantities in a particle transport
simulation 162
8.3 Tallying in a steady-state system 163
8.3.1 Collision estimator 163
8.3.2 Path-length estimator 165
8.3.3 Surface-crossing estimator 166
8.3.4 Analytical estimator 169
8.4 Tallying in a time-dependent system 171
8.5 Tallies in nonanalog simulations 172
8.6 Estimation of relative uncertainty 173
8.7 Propagation of uncertainty 174
8.8 Remarks 176
References 177
Problems 177

9 Geometry and particle tracking 179

9.1 Introduction 179


9.2 Discussion on a combinatorial geometry
approach 180
9.2.1 Definition of surfaces 180
9.2.2 Definition of cells 181
9.2.3 Examples 182

K20567_Book.indb 11 10/24/14 12:15 PM


xii Contents

9.3 Description of boundary conditions 184


9.4 Particle tracking 187
9.5 Remarks 188
References 189
Problems 189

10 Eigenvalue or criticality Monte Carlo particle


transport 193

10.1 Introduction 193


10.2 Theory of power iteration for eigenvalue
problems 194
10.3 Monte Carlo eigenvalue calculation 197
10.3.1 Random variables associated with a
fission process 197
10.3.2 Monte Carlo simulation of a
criticality problem 199
10.3.3 Estimators for sampling
fission neutrons 202
10.3.4 A method to combine estimators 203
10.4 Issues associated with the standard eigenvalue
calculation procedure 205
10.4.1 Diagnostic methods for source
convergence 206
10.4.2 Fission matrix (FM) methodology 209
10.4.3 Issues associated with the FM method 212
10.5 Remarks 213
References 213
Problems 215

11 Vector and parallel processing of Monte Carlo


methods 219

11.1 Introduction 219


11.2 Vector processing 221
11.2.1 Vector performance 223
11.3 Parallel processing 224
11.3.1 Parallel performance 225
11.4 Vectorization of Monte Carlo methods 227
11.5 Parallelization of the Monte Carlo methods 228
11.5.1 Other possible parallel Monte
Carlo algorithms 229

K20567_Book.indb 12 10/24/14 12:15 PM


Contents xiii

11.6 Development of a parallel algorithm using MPI 229


11.7 Remarks 232
References 233
Problems 233

Appendix one 237


Appendix two 241
Appendix three 249
Appendix four 253
Appendix five 255
Appendix six 261
Index 267

K20567_Book.indb 13 10/24/14 12:15 PM


This page intentionally left blank
Acknowledgments

This has been a 20-year project that dates back to my tenure


at Pennsylvania State University. As a newly minted assistant
professor, I inherited an experimental course on Monte Carlo
methods in particle transport in 1989 that had once been taught
by the late Dr. Anthony Foderaro. The course was approved
as a permanent part of Penn State’s nuclear engineering cur-
riculum in 1991. Three years later, in 1994, during my fifth
year of teaching this course, I created the first bound version
of my notes. The initial version of the notes relied heavily on
Dr. Foderaro’s unpublished notebook, and a number of other
books and computer code manuals. The notes have evolved
significantly over the years, with the current version greatly
influenced by over two decades of research by my graduate stu-
dents and investigators in the field, and by the questions and
comments of students. My group has been engaged in various
research projects relating to the development of particle trans-
port methodologies and codes for modeling and simulation
of nuclear reactors, nuclear nonproliferation and safeguard
detection systems, and radiation therapy and diagnostics sys-
tems. Specifically, my students and I have been involved in the
development of automated variance reduction techniques for
neutral and charged particle transport, and more recently have
been developing methodologies for examining fission source
convergence and detecting and preventing biasing of the eigen-
value and the corresponding eigenfunction.
I am grateful to three of my current graduate students, who
offered invaluable assistance in the preparation of this book.

xv

K20567_Book.indb 15 10/24/14 12:15 PM


xvi Acknowledgments

William Walters offered a number of critical thoughts, espe-


cially in the materials presented in Chapters 5 and 10, and per-
formed some of the analysis relating to the stratified sampling
technique. Katherine Royston offered a number of important
suggestions throughout the book and prepared the general
framework for parallelization of Monte Carlo codes. Nathan
Roskoff prepared the majority of the graphics. Each further
reviewed the book in detail, provided a number of excellent
recommendations for improving its clarity and presentation,
and helped with its formatting, references, and various details.
I am truly grateful for their assistance and sincere interest in the
preparation of the book.
I also am grateful to my colleagues and former students
who agreed to carefully review different chapters of the book
on short notice. I want to particularly acknowledge the efforts
of Dr. Gianluca Longoni from Westinghouse; Drs. Bojan
Petrovic, Farzad Rahnem, and Glenn Sjoden from Georgia
Tech; and Dr. John Wagner from Oak Ridge National Lab.
Their edits, comments, and suggestions have significantly
improved the accuracy and clarity of the materials presented
in the book.
Last, I would like thank my wife, Mastaneh, for her sac-
rifices and continuous care, support, and encouragement; my
son, Aarash, who has always expressed interest and curiosity in
my work, and has been a source of pride and inspiration; and
my mother, Pari, who instilled in me a sense of achievement
and integrity.

K20567_Book.indb 16 10/24/14 12:15 PM


About the author

Alireza Haghighat, PhD, earned his degree in nuclear engi-


neering from the University of Washington, Seattle, in 1986.
Between 1986 and 2001, he was a professor of nuclear engineer-
ing at Penn State, White Oak, Pennsylvania. From July 2001 to
September 2009, he was chair and professor of the Department
of Nuclear and Radiological Engineering at the University of
Florida (Gainesville), and, from September 2009 to June 2011,
Dr. Haghighat was a Florida Power & Light endowed term pro-
fessor and served part-time as the director of the University of
Florida Training Reactor. Since January 2011, he has been a
professor of nuclear engineering in the Mechanical Engineering
Department at Virginia Tech, Blacksburg, Virginia; has served
as the director of the Nuclear Science and Engineering Lab
(NSEL) at Arlington, Virginia, and led the Virginia Tech
Theory Transport Group (VT3G).
Dr. Haghighat is a fellow of the American Nuclear Society
(ANS). He is engaged in the development of advanced particle
transport methods/codes for real-time application to power, non-
proliferation and safeguards, and medicine. He has published
numerous papers, received several best paper awards, and pre-
sented many invited workshops, seminars, and papers nation-
ally and internationally. He is a recipient of the 2011 Radiation
Protection Shielding Division’s Professional Excellence Award,
and received a recognition award from the Office of Global
Threat Reduction for his leadership and contributions to design
and analysis for the University of Florida Training Reactor HEU
(highly enriched uranium) to LEU (low enriched uranium) fuel

xvii

K20567_Book.indb 17 10/24/14 12:15 PM


xviii About the author

conversion in 2009. Dr. Haghighat is an active member of ANS,


and has served at various leadership positions, such as chair
of the Reactor Physics Division, chair of the Mathematics and
Computation Division, co-founder of the Computational Medical
Physics Working Group, and chair of the NEDHO (Nuclear
Engineering Department Heads Organization).

K20567_Book.indb 18 10/24/14 12:15 PM


Cha p ter O ne

Introduction

The Monte Carlo method is a statistical technique that is capa-


ble of simulating a mathematical or physical experiment on a
computer. In mathematics, it can provide the expectation value
of functions and evaluate integrals; in science and engineering,
it is capable of simulating of complex problems that are com-
prised of various random processes with known or assumed
probability density functions. To be able to simulate the random
process, i.e., sample from a probability function for an event,
it uses random numbers or pseudorandom numbers. Just like
any statistical process, the Monte Carlo method requires repeti-
tion to achieve a small relative uncertainty, and, therefore, may
necessitate impractically large simulation times. To overcome
this difficulty, parallel algorithms and variance reduction tech-
niques are needed. This book attempts to address major topics
affecting development, utilization, and performance of a Monte
Carlo algorithm.

1.1â•… History of Monte Carlo simulation

The birth of Monte Carlo simulation can be traced back to


World War II. At that time, because of the Manhattan proj-
ect, there was significant urgency in understanding nuclear
fission and generating special nuclear materials. Great minds
from all over the world were assembled in the United States to
work on the Manhattan project. This coincided with another
initiative: building of the first electronic computer. The first
computer, ENIAC, had over 17,000 vacuum tubes in a system
with 500,000 solder joints and was built at the University of
Pennsylvania in Philadelphia under the leadership of physicist

K20567_Book.indb 1 10/24/14 12:15 PM


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