Adaptive stratified Monte Carlo algorithm for numerical computation of integrals
DOI10.1016/J.MATCOM.2018.10.004OpenAlexW2206551611WikidataQ129054860 ScholiaQ129054860MaRDI QIDQ1997373FDOQ1997373
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
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- scientific article; zbMATH DE number 1786482
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)
Cites Work
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- An adaptive sequential Monte Carlo sampler
- Minimax number of strata for online stratified sampling given noisy samples
- Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata
- On adaptive stratification
- Adaptive optimal allocation in stratified sampling methods
- Adaptive integration and approximation over hyper-rectangular regions with applications to basket option pricing
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