An adaptive Monte Carlo integration algorithm with general division approach

DOI10.1016/J.MATCOM.2007.09.009zbMath1151.65005OpenAlexW2041558485MaRDI QIDQ947920

Houssam M. Abdul-Rahman, Mahmoud H. Al-Refaei

Publication date: 8 October 2008

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2007.09.009

zbMATH Keywords

numerical resultsMonte Carlo integrationstratified samplingmultidimensional integralsadaptive Monte Carlo algorithms

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Related Items (3)

Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata ⋮ Probabilistic constraints for nonlinear inverse problems ⋮ Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws

Uses Software

• MersenneTwister

Cites Work

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• Applications to risk theory of a Monte Carlo multiple integration method.
• A comparison between (quasi-)Monte Carlo and cubature rule based methods for solving high-dimensional integration problems
• Special issue: High dimensional integration
• Mersenne twister
• AN ADAPTIVE METHOD FOR EVALUATING MULTIDIMENSIONAL CONTINGENT CLAIMS: PART II

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