Variance reduction in Monte Carlo computations using multi-dimensional Hermite polynomials
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Publication:1141450
DOI10.1016/0021-9991(79)90150-5zbMath0437.65005OpenAlexW2046076021MaRDI QIDQ1141450
Publication date: 1979
Published in: Journal of Computational Physics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0021-9991(79)90150-5
numerical resultsvariance reductionMonte Carlo integrationtruncated Fourier seriesMonte Carlo computer simulationscontrol variates technique
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Cites Work
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- Hermite expansions in Monte-Carlo computation
- A short course in computational probability and statistics
- Remarks on a Monte Carlo integration method
- The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals
- Random quadratures of improved accuracy
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