Stratified Monte Carlo integration

zbMATH Open1317.65008MaRDI QIDQ5501587FDOQ5501587

Authors: Rami El Haddad, Rana Fakhreddine, Christian Lécot 

Publication date: 4 August 2015

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Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30)

Cited In (17)

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• Adaptive stratified Monte Carlo algorithm for numerical computation of integrals
• Variance analysis for Monte Carlo integration
• Stratified Monte Carlo simulation of Markov chains
• Stratified Monte Carlo quadrature for continuous random fields
• Higher-Order Monte Carlo through Cubic Stratification
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• Stochastic comparisons of stratified sampling techniques for some Monte Carlo estimators
• Adaptive strategy for stratified Monte Carlo sampling
• Trapezoidal Stratified Monte Carlo Integration
• Linear Monte Carlo quadrature with optimal confidence intervals
• Expected integration approximation under general equal measure partition
• Sampling and change of measure for Monte Carlo integration on simplices
• Sequential stratified splitting for efficient Monte Carlo integration
• Minimax number of strata for online stratified sampling given noisy samples
• Monte Carlo integration of non-differentiable functions on \([0,1]^\iota\), \(\iota =1,\ldots, d\), using a single determinantal point pattern defined on \([0,1]^d\)
• The Problem of Dimensionality in Stratified Sampling

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