On asymptotic behaviour of modelling time in the importance sampling method

V.V. Shvets

Monte Carlo Methods and Applications, 2003, vol. 9, issue 1, 77-85

Abstract: We deal with evaluation of an integral with the positive integrand g(v) : V → R (here is a bounded domain) by standard Monte Carlo method with density p(v), proportional to the Strang–Fix approximation of function g(v), built on the uniform grid with step h in domain V . We consider the mean value of time required for modelling sampling value of random variable with respect to the density p(v) and investigate its asymptotic behaviour as h → 0.

Date: 2003
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DOI: 10.1515/156939603322587489

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