An adaptive Monte Carlo integration algorithm with general division approach

Mahmoud H. Alrefaei and Houssam M. Abdul-Rahman

Mathematics and Computers in Simulation (MATCOM), 2008, vol. 79, issue 1, 49-59

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.

Keywords: Monte Carlo integration; Stratified sampling; Adaptive Monte Carlo algorithms (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:79:y:2008:i:1:p:49-59

DOI: 10.1016/j.matcom.2007.09.009

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