A Monte Carlo algorithm for weighted integration over $\mathbb {R}^d$
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Publication:4452162
DOI10.1090/S0025-5718-03-01564-3zbMath1035.65003MaRDI QIDQ4452162
Leszek Plaskota, Grzegorz W. Wasilkowski, Youming Li, Piotr Gajda
Publication date: 12 February 2004
Published in: Mathematics of Computation (Search for Journal in Brave)
convergence; numerical results; unbounded domain; Monte Carlo algorithm; randomized algorithm; random number generators; weighted integrals; multiple integration; average case error
65C05: Monte Carlo methods
Uses Software
Cites Work
- 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
- A Modified Monte-Carlo Quadrature. II
- Mersenne twister
- Maximally equidistributed combined Tausworthe generators
- A Modified Monte-Carlo Quadrature
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