A variance reducing multiplier for Monte Carlo integrations

Authors:
I. M. Sobol';A. V. Tutunnikov
Affiliations:
Institute for Mathematical Modelling of the Russian Academy of Sciences 4 Miusskaya Square, Moscow 125047, Russia;Institute for Mathematical Modelling of the Russian Academy of Sciences 4 Miusskaya Square, Moscow 125047, Russia
Venue:
Mathematical and Computer Modelling: An International Journal
Year:
1996

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Abstract

A random multiplier for variance reduction is investigated. Its efficiency depends on the correlation of the integrand and the reference function. However the multiplier can be used in quasi-Monte Carlo integrations also.