Why simple quadrature is just as good as Monte Carlo

DOI10.1515/MCMA-2020-2055OpenAlexW3105056987MaRDI QIDQ1985370

Kamal Youcef-Toumi, Kevin Vanslette, Abdullatif Al Alsheikh

Publication date: 7 April 2020

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

Full work available at URL: https://arxiv.org/abs/1908.00947

zbMATH Keywords

frequentistprobabilityMonte Carlo integrationBayesianquadrature integration

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32) Approximation algorithms (68W25) Randomized algorithms (68W20)

Uses Software

• DAKOTA
• Stan

Cites Work

• Bayes-Hermite quadrature
• Slice sampling. (With discussions and rejoinder)
• Spectral Methods for Uncertainty Quantification
• Adaptive Rejection Sampling for Gibbs Sampling
• Equation of State Calculations by Fast Computing Machines

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