Weighted Uniform Sampling -- a Monte Carlo Technique for Reducing Variance |
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| Authors: | POWELL M J D; SWANN J |
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| Institution: |
1Atomic Energy Research Establishment Harwell, Berkshire, England
2Queen's University Belfast, N. Ireland
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| Abstract: | A new Monte Carlo technique for reducing variance is presentedand analysed. It obtains gains in accuracy comparable to thoserealized by importance sampling (Hammersley & Handscomb,1964), without requiring the use of non-uniform probabilitydistributions. Some numerical examples illustrate the theory. |
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