Stochastic Integration Rules for Infinite Regions

DOI10.1137/S1064827595286803zbMath0916.65019OpenAlexW2039205317MaRDI QIDQ4389250

John F. Monahan, A. C. Genz

Publication date: 12 May 1998

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s1064827595286803

zbMATH Keywords

numerical examplesMonte Carlo methodsquadrature formulaerandom number generationmultiple integralsstatistical computationinfinite regions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Numerical quadrature and cubature formulas (65D32)

Related Items (7)

Fully Symmetric Kernel Quadrature ⋮ Quasi-stochastic integration filter for nonlinear estimation ⋮ A stochastic algorithm for high-dimensional integrals over unbounded regions with Gaussian weight ⋮ Mixed-degree spherical simplex-radial cubature Kalman filter ⋮ Stochastic Integration Filter with Improved State Estimate Mean-Square Error Computation ⋮ Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options ⋮ Design of high-degree Student's \(t\)-based cubature filters

Cites Work

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• An algorithm for generating chi random variables
• Unbiased Monte Carlo Integration Methods with Exactness for Low Order Polynomials
• Computing standard deviations
• Stochastic Quadrature Formulas

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