Sampling and change of measure for Monte Carlo integration on simplices

DOI10.1007/S10915-024-02461-0MaRDI QIDQ6202021zbMATH OpenOpenAlexFDO

Authors Reiichiro Kawai

Publication date 21 February 2024

Published in Journal of Scientific Computing (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s10915-024-02461-0

zbMATH Keywords

Dirichlet lawMonte Carlo methodsnumerical integrationsimplexvariance reduction

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Numerical integration (65D30)

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Cites work

• A Fifth Degree Integration Formula for the n-Simplex
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• Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata
• Extension of the Lasserre-Avrachenkov theorem on the integral of multilinear forms over simplices
• How to integrate a polynomial over a simplex
• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
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• scientific article; zbMATH DE number 1484400 (Why is no real title available?)
• Invariant Integration Formulas for the n-Simplex by Combinatorial Methods
• Numerical integration on a triangle
• Numerical Integration Over Simplexes
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• Optimal importance sampling parameter search for Lévy processes via stochastic approximation
• Optimizing adaptive importance sampling by stochastic approximation
• Quasi-Monte Carlo tractability of high dimensional integration over products of simplices
• Simple formula for integration of polynomials on a simplex
• Symmetric Quadrature Formulae for Simplexes
• The Multi-Dimensional Version of � b a x p dx
• Transforming low-discrepancy sequences from a cube to a simplex

Cited in

(2)

• Monte Carlo methods with infinite variances
• Antithetic variates revisited again

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