A stochastic algorithm for high-dimensional integrals over unbounded regions with Gaussian weight
type: Item
instance of: scholarly article
title: A stochastic algorithm for high-dimensional integrals over unbounded regions with Gaussian weight
zbMATH Open document ID: 0943.65034
DOI: 10.1016/S0377-0427(99)00214-9
author: John F. Monahan
author: A. Genz
published in: Journal of Computational and Applied Mathematics
publication date: 2000-08-21T00:00:00Z
review text: The paper presents an algorithm that uses stochastic spherical-radial rules for the numerical computation of multiple integrals. These rules have higher accuracy and better convergence properties than simple Monte Carlo methods. The Fortran implemetation of the algorithm {(RANRTH)} is discussed, too. An example from a computational finance application is included (\(n\) variables, \(n > 100\)).
Mathematics Subject Classification ID: 65D32
Mathematics Subject Classification ID: 65C05
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 1398798
zbMATH Keywords: quadrature rule
zbMATH Keywords: stochastic spherical-radial rules
zbMATH Keywords: high-dimensional integral
zbMATH Keywords: numerical example
zbMATH Keywords: algorithm
zbMATH Keywords: multiple integrals
zbMATH Keywords: convergence
zbMATH Keywords: Monte Carlo methods
zbMATH Keywords: computational finance application
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1398798