A Monte Carlo algorithm for weighted integration over \mathbb {R}^d

DOI10.1090/S0025-5718-03-01564-3MaRDI QIDQ4452162zbMATH OpenOpenAlexFDO

Authors Piotr Gajda, Youming Li, Leszek Plaskota, Grzegorz W. Wasilkowski

Publication date 12 February 2004

Published in Mathematics of Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/s0025-5718-03-01564-3

zbMATH Keywords

convergencenumerical resultsrandomized algorithmunbounded domainweighted integralsMonte Carlo algorithmrandom number generatorsmultiple integrationaverage case error

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

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Cites work

• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• scientific article; zbMATH DE number 1082312 (Why is no real title available?)
• scientific article; zbMATH DE number 1790452 (Why is no real title available?)
• scientific article; zbMATH DE number 781100 (Why is no real title available?)
• A Modified Monte-Carlo Quadrature
• A Modified Monte-Carlo Quadrature. II
• Maximally equidistributed combined Tausworthe generators
• Mersenne twister
• Optimal designs for weighted approximation and integration of stochastic processes on \([0,\infty)\)
• To the theory of the estimators of the Monte Carlo method which are connected with a ``random walk by spheres

Cited in

(2)

• A stochastic algorithm for high-dimensional integrals over unbounded regions with Gaussian weight
• Monte Carlo computation of the mean of a function with convex support

Describes a project that uses

Uses Software

• MersenneTwister

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