Weighted Monte Carlo Integration

DOI10.1137/0715088MaRDI QIDQ4178389zbMATH OpenOpenAlexFDO

Authors S. Yakowitz, John E. Krimmel, F. Szidarovszky

Publication date 1978

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/0715088

zbMATH Keywords

Asymptotic Optimality PropertyMonte Carlo MethodsNumerical Cubature

Mathematics Subject Classification ID

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

Cited in

(7)

• A comparison of Kriging with nonparametric regression methods
• Optimal \(L_2\)-norm empirical importance weights for the change of probability measure
• Constraint energy minimizing generalized multiscale finite element method for multi-continuum Richards equations
• Processing simulation output by riemann sums
• Optimal estimators for the importance sampling method
• Trapezoidal and Simpson's methods with a random design
• Quantile importance sampling

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