Adaptive stratified Monte Carlo algorithm for numerical computation of integrals

DOI10.1016/J.MATCOM.2018.10.004MaRDI QIDQ1997373zbMATH OpenOpenAlexWikidataFDO

Authors Toni Sayah

Publication date 2 March 2021

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

Full work available at URL https://arxiv.org/abs/1507.05721

zbMATH Keywords

stratificationMonte Carlo methodadaptive methodoptimal allocation

Mathematics Subject Classification ID

Numerical approximation and computational geometry (primarily algorithms) (65Dxx) Probabilistic methods, stochastic differential equations (65Cxx) Numerical methods in Fourier analysis (65Txx) Nonlinear algebraic or transcendental equations (65Hxx) Numerical methods for mathematical programming, optimization and variational techniques (65Kxx)

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Cites work

• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 854710 (Why is no real title available?)
• scientific article; zbMATH DE number 236854 (Why is no real title available?)
• A new algorithm for adaptive multidimensional integration
• Adaptive integration and approximation over hyper-rectangular regions with applications to basket option pricing
• Adaptive optimal allocation in stratified sampling methods
• An adaptive sequential Monte Carlo sampler
• Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata
• Minimax number of strata for online stratified sampling given noisy samples
• On adaptive stratification

Cited in

(2)

• Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata
• Adaptive stratified monte carlo algorithm for numerical computation of integrals

Describes a project that uses

Uses Software

• VEGAS
• TESTPACK

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