A Monte Carlo algorithm for weighted integration over $\mathbb {R}^d$

DOI10.1090/S0025-5718-03-01564-3zbMath1035.65003OpenAlexW1483518516MaRDI QIDQ4452162

Youming Li, Piotr Gajda, Leszek Plaskota, Grzegorz W. Wasilkowski

Publication date: 12 February 2004

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1090/s0025-5718-03-01564-3

zbMATH Keywords

convergencenumerical resultsunbounded domainMonte Carlo algorithmrandomized algorithmrandom number generatorsweighted integralsmultiple integrationaverage case error

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Uses Software

• MersenneTwister

Cites Work

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• Optimal designs for weighted approximation and integration of stochastic processes on \([0,\infty)\)
• To the theory of the estimators of the Monte Carlo method which are connected with a ``random walk by spheres
• A Modified Monte-Carlo Quadrature. II
• Mersenne twister
• Maximally equidistributed combined Tausworthe generators
• A Modified Monte-Carlo Quadrature

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