Using the Monte Carlo method to solve integral equations using a modified control variate

DOI10.1016/J.AMC.2014.06.079zbMATH Open1334.65213OpenAlexW2041186897MaRDI QIDQ279646FDOQ279646

Authors: Yan Zaizai, Hong Zhimin 

Publication date: 28 April 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2014.06.079

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zbMATH Keywords

variance reductionMonte Carlo simulationFredholm integral equationmodified control variatesuccessive approximations method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Applications of statistics (62P99) Numerical methods for integral equations (65R20) Fredholm integral equations (45B05)

Cites Work

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• Solving linear integral equations of the second kind with repeated modified trapezoid quadrature method
• Monte Carlo method for solving Fredholm integral equations of the second kind
• Using the WPG method for solving integral equations of the second kind
• A variance reduction method based on sensitivity derivatives
• A method for obtaining bounds on eigenvalues and eigenfunctions by solving non-homogeneous integral equations
• Monte Carlo simulation for solving Fredholm integral equations
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• Is There a Curse of Dimensionality for Contraction Fixed Points in the Worst Case?
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• On solving integral equations using Markov chain Monte Carlo methods

Cited In (3)

• Title not available (Why is that?)
• Title not available (Why is that?)
• Monte Carlo integration with a growing number of control variates

Uses Software

• Matlab

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