An adaptive Monte Carlo integration algorithm with general division approach

Mahmoud H. Alrefaei, Houssam M. Abdul-Rahman

Research output: Contribution to journalArticle

Abstract

We propose an adaptive Monte Carlo algorithm for estimating multidimensional integrals over a hyper-rectangular region. The algorithm uses iteratively the idea of separating the domain of integration into 2ssubregions. The proposed algorithm can be applied directly to estimate the integral using an efficient way of storage. We test the algorithm for estimating the value of a 30-dimensional integral using a two-division approach. The numerical results show that the proposed algorithm gives better results than using one-division approach.

Original languageEnglish (US)
Pages (from-to)49-59
Number of pages11
JournalMathematics and Computers in Simulation
Volume79
Issue number1
DOIs
StatePublished - Oct 2008

Keywords

  • Adaptive Monte Carlo algorithms
  • Monte Carlo integration
  • Stratified sampling

ASJC Scopus subject areas

  • Theoretical Computer Science
  • Computer Science(all)
  • Numerical Analysis
  • Modeling and Simulation
  • Applied Mathematics

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