An adaptive Monte Carlo integration algorithm with general division approach
نویسندگان
چکیده
We propose an adaptive Monte Carlo algorithm for estimating multidimensional integrals over a hyper-rectangular region. The lgorithm uses iteratively the idea of separating the domain of integration into 2subregions. The proposed algorithm can be applied irectly to estimate the integral using an efficient way of storage. We test the algorithm for estimating the value of a 30-dimensional ntegral using a two-division approach. The numerical results show that the proposed algorithm gives better results than using ne-division approach. 2007 IMACS. Published by Elsevier B.V. All rights reserved.
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عنوان ژورنال:
- Mathematics and Computers in Simulation
دوره 79 شماره
صفحات -
تاریخ انتشار 2008