Usage of the importance sample in Monte Carlo methods

DOI10.1515/MCMA.2000.6.4.341MaRDI QIDQ2708286zbMATH OpenOpenAlexFDO

Authors A. V. Vojtishek, Sergey A. Ukhinov

Publication date 29 November 2001

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/mcma.2000.6.4.341

zbMATH Keywords

importance sampleintegralMonte Carlo methodssampling algorithms

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32)

Review text

This article considers the problem of sampling to compute integrals using Monte Carlo methods. It is shown that when the optimal sample is not given beforehand, it is better to use not the exactly optimal but close to optimal sample values.

Recommendations

• Use of the important sampling in the Monte Carlo method
• Adaptive importance sampling in monte carlo integration
• Optimal weighted Monte-Carlo methods
• Optimal estimators for the importance sampling method
• Methods of reducing sample size in Monte Carlo computations

Cited in

(4)

• Use of the important sampling in the Monte Carlo method
• Optimal estimators for the importance sampling method
• Representativeness of a sample in Monte Carlo method
• Methods of reducing sample size in Monte Carlo computations

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