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Some Advantages on Monte Carlo Integration using Variance Reduction Procedures

Author(s): Behrouz Fathi Vajargah | Farshid Mehrdoust | Ahmad Pourdarvish | Forough Norouzi Saziroud

Journal: International Journal of Advanced Research in Computer Science
ISSN 0976-5697

Volume: 01;
Issue: 04;
Start page: 220;
Date: 2010;
Original page

Keywords: Antithetic | variates | (AV) | Multiple | control | variates | (MCV) | Multivariate | numerical | integration | Naive | Monte | Carlo | (NMC) | Single | control | variates | (SCV)

This paper presents the variance reduction methods for increasing the accuracy of Monte Carlo integration. Also, based on robust linear egression and multiple control variate method an alternative method is proposed.
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Tango Jona
Tangokurs Rapperswil-Jona