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Adaptive algorithm of Monte Carlo type for calculating the integral characteristics of complex systems - MaRDI portal

Adaptive algorithm of Monte Carlo type for calculating the integral characteristics of complex systems

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Publication:580885

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zbMath0626.65018MaRDI QIDQ580885

O. Yu. Kul'chitskij, S. V. Skrobotov

Publication date: 1986

Published in: Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

sensitivity importance sampling convergence rate variance reduction complex systems successive approximations integral characteristics selective sampling adaptive Monte Carlo procedure

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Estimation and detection in stochastic control theory (93E10) Numerical quadrature and cubature formulas (65D32)

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