A Monte Carlo algorithm for weighted integration over ℝ d

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

doi:10.1090/S0025-5718-03-01564-3

A Monte Carlo algorithm for weighted integration over ℝ ^d

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

Computer Science

Producción científica: Article › revisión exhaustiva

Resumen

We present and analyze a new randomized algorithm for numerical computation of weighted integrals over the unbounded domain ℝ ^d. The algorithm and its desirable theoretical properties are derived based on certain stochastic assumptions about the integrands. It is easy to implement, enjoys O(n ^-1/2) convergence rate, and uses only standard random number generators. Numerical results are also included.

Idioma original	English
Páginas (desde-hasta)	813-825
Número de páginas	13
Publicación	Mathematics of Computation
Volumen	73
N.º	246
DOI	https://doi.org/10.1090/S0025-5718-03-01564-3
Estado	Published - abr 2004

ASJC Scopus subject areas

Algebra and Number Theory
Computational Mathematics
Applied Mathematics

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10.1090/S0025-5718-03-01564-3

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abstract = "We present and analyze a new randomized algorithm for numerical computation of weighted integrals over the unbounded domain ℝ d. The algorithm and its desirable theoretical properties are derived based on certain stochastic assumptions about the integrands. It is easy to implement, enjoys O(n -1/2) convergence rate, and uses only standard random number generators. Numerical results are also included.",

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