A Random Number Based Method for Monte Carlo Integration
نویسنده
چکیده
A new method is proposed for Monte Carlo integration. This method is more efficient with wider coverage, including improper integrals, while the classical Monte Carlo integration can only handle bounded domain integrals. To implement this method in computer programming, you only need a random number generator. Unlike the deterministic numerical integration methods, the expected error of this method is independent of the integral dimensionality. This method is powerful and dominates other numerical integral methods for the higherdimensional integrals.
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