An adaptive Monte Carlo integration algorithm with general division approach

DOI10.1016/J.MATCOM.2007.09.009MaRDI QIDQ947920zbMATH OpenOpenAlexFDO

Authors Mahmoud H. Alrefaei, Houssam M. Abdul-Rahman

Publication date 8 October 2008

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2007.09.009

zbMATH Keywords

numerical resultsmultidimensional integralsMonte Carlo integrationstratified samplingadaptive Monte Carlo algorithms

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

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Cites work

• scientific article; zbMATH DE number 3841285 (Why is no real title available?)
• scientific article; zbMATH DE number 854710 (Why is no real title available?)
• scientific article; zbMATH DE number 3196612 (Why is no real title available?)
• A comparison between (quasi-)Monte Carlo and cubature rule based methods for solving high-dimensional integration problems
• AN ADAPTIVE METHOD FOR EVALUATING MULTIDIMENSIONAL CONTINGENT CLAIMS: PART II
• Applications to risk theory of a Monte Carlo multiple integration method.
• Mersenne twister
• Special issue: High dimensional integration

Cited in

(12)

• Obviating the bin width effect of the \(1/t\) algorithm for multidimensional numerical integration
• An alternative algorithm for estimating integrals
• scientific article; zbMATH DE number 1505478 (Why is no real title available?)
• A \(1/t\) algorithm with the density of two states for estimating multidimensional integrals
• FiEstAS sampling -- a Monte Carlo algorithm for multidimensional numerical integration
• Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata
• Monte Carlo integration with subtraction
• An Overview of Lattice and Adaptive Approaches for Multidimensional Integrals
• Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws
• Sequential stratified splitting for efficient Monte Carlo integration
• Probabilistic constraints for nonlinear inverse problems
• Adaptive stratified Monte Carlo algorithm for numerical computation of integrals

Describes a project that uses

Uses Software

• MersenneTwister

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