Weighted Monte Carlo Integration

DOI10.1137/0715088zbMath0395.65006OpenAlexW1986599143MaRDI QIDQ4178389

John E. Krimmel, Ferenc Szidarovszky, Sidney Yakowitz

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

Monte Carlo MethodsAsymptotic Optimality PropertyNumerical Cubature

Mathematics Subject Classification ID

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

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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 ⋮ A comparison of Kriging with nonparametric regression methods

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