Adaptive stratified Monte Carlo algorithm for numerical computation of integrals

DOI10.1016/J.MATCOM.2018.10.004OpenAlexW2206551611WikidataQ129054860 ScholiaQ129054860MaRDI QIDQ1997373

Toni Sayah

Publication date: 2 March 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1507.05721

zbMATH Keywords

stratificationMonte Carlo methodadaptive methodoptimal allocation

Mathematics Subject Classification ID

Numerical approximation and computational geometry (primarily algorithms) (65Dxx) Numerical methods in Fourier analysis (65Txx) Probabilistic methods, stochastic differential equations (65Cxx) Nonlinear algebraic or transcendental equations (65Hxx) Numerical methods for mathematical programming, optimization and variational techniques (65Kxx)

Related Items (1)

Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata

Uses Software

• VEGAS
• TESTPACK

Cites Work

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• On adaptive stratification
• Adaptive optimal allocation in stratified sampling methods
• An adaptive sequential Monte Carlo sampler
• A new algorithm for adaptive multidimensional integration
• Adaptive integration and approximation over hyper-rectangular regions with applications to basket option pricing
• Minimax Number of Strata for Online Stratified Sampling Given Noisy Samples
• Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata

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