Stochastic Integration Rules for Infinite Regions

DOI10.1137/S1064827595286803MaRDI QIDQ4389250zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• scientific article; zbMATH DE number 3591295 (Why is no real title available?)
• scientific article; zbMATH DE number 3338262 (Why is no real title available?)
• An algorithm for generating chi random variables
• Computing standard deviations
• Stochastic Quadrature Formulas
• Unbiased Monte Carlo Integration Methods with Exactness for Low Order Polynomials

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(9)

• Mixed-degree spherical simplex-radial cubature Kalman filter
• Application of improved simplex quadrature cubature Kalman filter in nonlinear dynamic system
• 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
• scientific article; zbMATH DE number 4089322 (Why is no real title available?)
• 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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