Variance reduction in Monte Carlo computations using multi-dimensional Hermite polynomials

DOI10.1016/0021-9991(79)90150-5zbMath0437.65005OpenAlexW2046076021MaRDI QIDQ1141450

F. H. Maltz, Donald L. Hitzl

Publication date: 1979

Published in: Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0021-9991(79)90150-5

zbMATH Keywords

numerical resultsvariance reductionMonte Carlo integrationtruncated Fourier seriesMonte Carlo computer simulationscontrol variates technique

Mathematics Subject Classification ID

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Cites Work

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• Hermite expansions in Monte-Carlo computation
• A short course in computational probability and statistics
• Remarks on a Monte Carlo integration method
• The orthogonal development of non-linear functionals in series of Fourier-Hermite functionals
• Random quadratures of improved accuracy

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