|
|||||
|
|
A Monte Carlo algorithm for weighted integration over  |
|
| Authors: | Piotr Gajda Youming Li Leszek Plaskota Grzegorz W. Wasilkowski. |
| Affiliation: | Department of Mathematics, Informatics, and Mechanics, Warsaw University, ul. Banacha 2, 02-097 Warsaw, Poland ; Mathematics and Computer Science Department, Georgia Southern University, 0203 Georgia Avenue, Statesboro, Georgia 30460-8093 ; Department of Mathematics, Informatics, and Mechanics, Warsaw University, ul. Banacha 2, 02-097 Warsaw, Poland ; Department of Computer Science, University of Kentucky, 773 Anderson Hall, Lexington, Kentucky 40506-0046 |
| Abstract: | We present and analyze a new randomized algorithm for numerical computation of weighted integrals over the unbounded domain  . The algorithm and its desirable theoretical properties are derived based on certain stochastic assumptions about the integrands. It is easy to implement, enjoys  convergence rate, and uses only standard random number generators. Numerical results are also included. |
| Keywords: | Numerical multiple integration Monte Carlo methods average case error |
| 点击此处可从《Mathematics of Computation》浏览原始摘要信息 | |
| 点击此处可从《Mathematics of Computation》下载全文 | |