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

DOI10.1090/S0025-5718-03-01564-3zbMATH Open1035.65003OpenAlexW1483518516MaRDI QIDQ4452162FDOQ4452162

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

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zbMATH Keywords

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

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Cites Work

• Mersenne twister
• Title not available (Why is that?)
• Optimal designs for weighted approximation and integration of stochastic processes on \([0,\infty)\)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Maximally equidistributed combined Tausworthe generators
• A Modified Monte-Carlo Quadrature. II
• To the theory of the estimators of the Monte Carlo method which are connected with a ``random walk by spheres
• A Modified Monte-Carlo Quadrature
• Title not available (Why is that?)

Cited In (2)

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

Uses Software

• MersenneTwister

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