Adaptive stratified monte carlo algorithm for numerical computation of integrals

DOI10.1016/J.MATCOM.2018.10.004arXiv1507.05721WikidataQ129054860 ScholiaQ129054860MaRDI QIDQ6263791FDOQ6263791

Publication date: 21 July 2015

Abstract: In this paper, we aim to compute numerical approximation integral by using an adaptive Monte Carlo algorithm. We propose a stratified sampling algorithm based on an iterative method which splits the strata following some quantities called indicators which indicate where the variance takes relative big values. The stratification method is based on the optimal allocation strategy in order to decrease the variance from iteration to another. Numerical experiments show and confirm the efficiency of our algorithm.

Mathematics Subject Classification ID

Numerical approximation and computational geometry (primarily algorithms) (65Dxx) Probabilistic methods, stochastic differential equations (65Cxx) Numerical methods in Fourier analysis (65Txx) Nonlinear algebraic or transcendental equations (65Hxx) Numerical methods for mathematical programming, optimization and variational techniques (65Kxx)

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