An adaptive Monte Carlo integration algorithm with general division approach

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Author Alrefaei, Mahmoud H. en_US
Author Abdul-Rahmanb, Houssam M. en_US
Available date 2009-12-28T09:04:59Z en_US
Publication Date 2007-09-13 en_US
Citation Alrefaei, M. H., & Abdul-Rahman, H. M. (2008). An adaptive Monte Carlo integration algorithm with general division approach. Mathematics and Computers in Simulation, 79(1), 49–59 en_US
URI http://dx.doi.org/10.1016/j.matcom.2007.09.009 en_US
URI http://hdl.handle.net/10576/10527 en_US
Abstract We propose an adaptive Monte Carlo algorithm for estimating multidimensional integrals over a hyper-rectangular region. The algorithm uses iteratively the idea of separating the domain of integration into 2ssubregions. The proposed algorithm can be applied directly to estimate the integral using an efficient way of storage. We test the algorithm for estimating the value of a 30-dimensional integral using a two-division approach. The numerical results show that the proposed algorithm gives better results than using one-division approach. en_US
Language en en_US
Publisher Elsevier en_US
Subject Adaptive Monte Carlo algorithms en_US
Subject Monte Carlo integration en_US
Subject Stratified sampling en_US
Title An adaptive Monte Carlo integration algorithm with general division approach en_US
Type Article en_US


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