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AuthorAlrefaei, Mahmoud H.
AuthorAbdul-Rahmanb, Houssam M.
Available date2009-12-28T09:04:59Z
Publication Date2007-09-13
Publication NameMathematics and Computers in Simulation
CitationAlrefaei, M. H., & Abdul-Rahman, H. M. (2008). An adaptive Monte Carlo integration algorithm with general division approach. Mathematics and Computers in Simulation, 79(1), 49–59
AbstractWe 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.
SubjectAdaptive Monte Carlo algorithms
SubjectMonte Carlo integration
SubjectStratified sampling
TitleAn adaptive Monte Carlo integration algorithm with general division approach

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