Adaptive schemes for the Monte Carlo method of an enhanced accuracy

MaRDI QIDQ1594485zbMATH OpenFDO

Authors V. M. Ivanov, M. L. Korenevskij, O. Yu. Kul'chitskij

Publication date 28 January 2001

Published in Doklady Mathematics (Search for Journal in Brave)

zbMATH Keywords

convergencevariance reductionMonte Carlo methodhigh order of accuracyadaptive schemes

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32)

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(4)

• Adaptive stratified Monte Carlo algorithm for numerical computation of integrals
• Monte Carlo integration of \(C^r\) functions with adaptive variance reduction: an asymptotic analysis
• A cautionary tale on the efficiency of some adaptive Monte Carlo schemes
• Adaptive Quasi-Monte Carlo Methods for Cubature

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