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

adaptive schemesconvergencehigh order of accuracyMonte Carlo methodvariance reduction

Mathematics Subject Classification ID

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

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(4)

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• 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

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