An adaptive algorithm to accelerate multi-parameter Monte Carlo computations

DOI10.1090/QAM/99623MaRDI QIDQ3922064zbMATH OpenOpenAlexFDO

Authors Donald L. Hitzl, Frank Zele

Publication date 1981

Published in Quarterly of Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/qam/99623

zbMATH Keywords

accelerationMonte Carlo computer simulationsorthonormal Hermite polynomialsvariance reduction

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Monte Carlo methods (65C05) Probabilistic models, generic numerical methods in probability and statistics (65C20)

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