An adaptive Monte Carlo integration algorithm with general division approach

Mahmoud H. Alrefaei; Houssam M. Abdul-Rahman

doi:10.1016/j.matcom.2007.09.009

An adaptive Monte Carlo integration algorithm with general division approach

Mahmoud H. Alrefaei, Houssam M. Abdul-Rahman

Research output: Contribution to journal › Article › peer-review

8 Citations (Scopus)

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 2^ssubregions. 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.

Original language	English
Pages (from-to)	49-59
Number of pages	11
Journal	Mathematics and Computers in Simulation
Volume	79
Issue number	1
DOIs	https://doi.org/10.1016/j.matcom.2007.09.009
Publication status	Published - Oct 2008
Externally published	Yes

Keywords

Adaptive Monte Carlo algorithms
Monte Carlo integration
Stratified sampling

ASJC Scopus subject areas

Theoretical Computer Science
General Computer Science
Numerical Analysis
Modelling and Simulation
Applied Mathematics

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10.1016/j.matcom.2007.09.009

Cite this

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AB - 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.

KW - Adaptive Monte Carlo algorithms

KW - Monte Carlo integration

KW - Stratified sampling

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An adaptive Monte Carlo integration algorithm with general division approach

Abstract

Keywords

ASJC Scopus subject areas

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