ACTA UNIVERSITATIS APULENSIS No 14/2007 A MIXED MONTE CARLO AND QUASI-MONTE CARLO SEQUENCE FOR MULTIDIMENSIONAL INTEGRAL ESTIMATION
نویسنده
چکیده
In this paper, we propose a method for estimating an sdimensional integral I. We define a new hybrid sequence that we call the H-mixed sequence. We obtain a probabilistic bound for the H-discrepancy of this sequence. We define a new estimator for a multidimensional integral using the H-mixed sequence. We prove a central limit theorem for this estimator. We show that by using our estimator, we obtain asymptotically a smaller variance than by using the crude Monte Carlo method. We also compare our method with the Monte Carlo and Quasi-Monte Carlo methods on a numerical example. 2000 Mathematics Subject Classification: 68U20, 65C05, 11K36, 11K45, 11K38.
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