Stochastic Integration Rules forIn nite Regions
نویسنده
چکیده
Stochastic integration rules are derived for innnite integration intervals, generalizing rules developed by Siegel and O'Brien (1985) for nite intervals. Then random orthogonal transformations of rules for integrals over the surface of the unit m-sphere are used to produce stochastic rules for these integrals. The two types of rules are combined to produce stochastic rules for multidimensional integrals over innnite regions with Normal or Student-t weights. Example results are presented to illustrate the eeectiveness of the new rules.
منابع مشابه
Stochastic Integration Rules for Infinite Regions
Stochastic integration rules are derived for infinite integration intervals, generalizing rules developed by Siegel and O’Brien [SIAM J. Sci. Statist. Comput., 6 (1985), pp. 169–181] for finite intervals. Then random orthogonal transformations of rules for integrals over the surface of the unit m-sphere are used to produce stochastic rules for these integrals. The two types of rules are combine...
متن کاملAn Eecient Probabilistic Finite Element Method for Stochastic Groundwater Flow
We present an eecient numerical method for solving stochastic porous media ow problems. Single-phase ow with a random conductivity eld is considered in a standard rst-order perturbation expansion framework. The numerical scheme, based on nite element techniques , is computationally more eecient than traditional approaches, because one can work with a much coarser nite element mesh. This is achi...
متن کاملGenerating Propagation Rules for Finite Domains via Uni cation in Finite Algebras
Constraint solving techniques are nowadays frequently based on constraint propagation which can be interpreted as a speciic form of deduction. Using constraint programming languages enhanced with constraint handling rules facilities, we can now perform constraint propagation just by applying deduction rules over constraints. The idea of computing propagation rules in the particular case of smal...
متن کاملOn Numerical Accuracy of Gauss-Chebyshev Integration Rules Using the Stochastic Arithmetic
In this paper, the evaluation of I = ∫ 1 −1 f(x) √ 1−x2 dx is proposed by using the opened and closed Gauss Chebyshev integration rules in the stochastic arithmetic. For this purpose, a theorem is proved to show the accuracy of the Gauss-Chebyshev rules. Then, the CESTAC 1 method and the stochastic arithmetic are used to validate the results and implement the numerical example.
متن کاملWilson wavelets for solving nonlinear stochastic integral equations
A new computational method based on Wilson wavelets is proposed for solving a class of nonlinear stochastic It^{o}-Volterra integral equations. To do this a new stochastic operational matrix of It^{o} integration for Wilson wavelets is obtained. Block pulse functions (BPFs) and collocation method are used to generate a process to forming this matrix. Using these basis functions and their operat...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2006