A variance reducing multiplier for Monte Carlo integrations

DOI10.1016/0895-7177(96)00042-8zbMath0858.65024OpenAlexW2090804573MaRDI QIDQ1921104

A. V. Tutunnikov, Ilya M. Sobol'

Publication date: 11 March 1997

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0895-7177(96)00042-8

zbMATH Keywords

convergencevariance reductionquasi-Monte Carlo methodmultidimensional integralscubature method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Multidimensional problems (41A63) Approximate quadratures (41A55) Numerical quadrature and cubature formulas (65D32) Analysis of variance and covariance (ANOVA) (62J10)

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Uses Software

• TOMS659

Cites Work

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• Asymmetric convergence of approximations of the Monte Carlo method
• Generation of quasi-random \(\text{(LP}_ \tau)\) vectors for parallel computation
• Reference functions to decrease errors in Monte Carlo integrals
• Example of Monte Carlo integrals where reference functions are useful
• Remarks on a Monte Carlo integration method
• Algorithm 659
• Uniformly distributed sequences with an additional uniform property
• Weighted Uniform Sampling — a Monte Carlo Technique for Reducing Variance