Stochastic Integration Rules for Infinite Regions

DOI10.1137/S1064827595286803zbMATH Open0916.65019OpenAlexW2039205317MaRDI QIDQ4389250FDOQ4389250

Authors: John F. Monahan, A. Genz 

Publication date: 12 May 1998

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s1064827595286803

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zbMATH Keywords

numerical examplesMonte Carlo methodsrandom number generationmultiple integralsquadrature formulaestatistical computationinfinite regions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Numerical quadrature and cubature formulas (65D32)

Cites Work

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• Computing standard deviations
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• An algorithm for generating chi random variables
• Stochastic Quadrature Formulas
• Unbiased Monte Carlo Integration Methods with Exactness for Low Order Polynomials

Cited In (9)

• Application of improved simplex quadrature cubature Kalman filter in nonlinear dynamic system
• Mixed-degree spherical simplex-radial cubature Kalman filter
• Stochastic integration filter with improved state estimate mean-square error computation
• Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options
• Fully Symmetric Kernel Quadrature
• Quasi-stochastic integration filter for nonlinear estimation
• Title not available (Why is that?)
• Design of high-degree Student's \(t\)-based cubature filters
• A stochastic algorithm for high-dimensional integrals over unbounded regions with Gaussian weight

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