Sequential stratified splitting for efficient Monte Carlo integration

DOI10.1080/07474946.2021.1940493MaRDI QIDQ5012701zbMATH OpenOpenAlexFDO

Authors Radislav Vaisman

Publication date 25 November 2021

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474946.2021.1940493

zbMATH Keywords

algorithmic efficiencyMarkov chain Monte Carlomultidimensional integrationmultilevel splittingsequential Monte Carlo

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Bayesian inference (62F15) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10)

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Cited in

(4)

• Adaptive stratified Monte Carlo algorithm for numerical computation of integrals
• Improvement of multidimensional randomized Monte Carlo algorithms with ``splitting
• Stratified Monte Carlo quadrature for continuous random fields
• Efficient Monte Carlo simulation via the generalized splitting method

Describes a project that uses

Uses Software

• BayesDA
• nwSpGr

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