Sampling and change of measure for Monte Carlo integration on simplices

DOI10.1007/s10915-024-02461-0OpenAlexW4391774229MaRDI QIDQ6202021

Reiichiro Kawai, Unnamed Author

Publication date: 21 February 2024

Published in: Journal of Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10915-024-02461-0

zbMATH Keywords

numerical integrationMonte Carlo methodsvariance reductionsimplexDirichlet law

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Numerical integration (65D30)

Cites Work

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• An adaptive numerical cubature algorithm for simplices
• A Fifth Degree Integration Formula for the n-Simplex
• Symmetric Quadrature Formulae for Simplexes
• Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata
• Batching Adaptive Variance Reduction

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