On variance reducing multipliers for Monte Carlo integration
Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki, Tome 41 (2001) no. 9, pp. 1310-1314 Cet article a éte moissonné depuis la source Math-Net.Ru

Voir la notice de l'article

@article{ZVMMF_2001_41_9_a3,
     author = {N. B. Gorbacheva and I. M. Sobol' and A. I. Trikuzov},
     title = {On variance reducing multipliers for {Monte} {Carlo} integration},
     journal = {\v{Z}urnal vy\v{c}islitelʹnoj matematiki i matemati\v{c}eskoj fiziki},
     pages = {1310--1314},
     year = {2001},
     volume = {41},
     number = {9},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/ZVMMF_2001_41_9_a3/}
}
TY  - JOUR
AU  - N. B. Gorbacheva
AU  - I. M. Sobol'
AU  - A. I. Trikuzov
TI  - On variance reducing multipliers for Monte Carlo integration
JO  - Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki
PY  - 2001
SP  - 1310
EP  - 1314
VL  - 41
IS  - 9
UR  - http://geodesic.mathdoc.fr/item/ZVMMF_2001_41_9_a3/
LA  - ru
ID  - ZVMMF_2001_41_9_a3
ER  - 
%0 Journal Article
%A N. B. Gorbacheva
%A I. M. Sobol'
%A A. I. Trikuzov
%T On variance reducing multipliers for Monte Carlo integration
%J Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki
%D 2001
%P 1310-1314
%V 41
%N 9
%U http://geodesic.mathdoc.fr/item/ZVMMF_2001_41_9_a3/
%G ru
%F ZVMMF_2001_41_9_a3
N. B. Gorbacheva; I. M. Sobol'; A. I. Trikuzov. On variance reducing multipliers for Monte Carlo integration. Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki, Tome 41 (2001) no. 9, pp. 1310-1314. http://geodesic.mathdoc.fr/item/ZVMMF_2001_41_9_a3/

[1] Sobol I. M., Chislennye metody Monte-Karlo, Nauka, M., 1973 | MR

[2] Sobol I. M., Tutunnikov A. V., “A variance reducing multiplier for Monte Carlo integrations”, Math. and Comput. Modelling, 23 (1996), 87–96 | DOI | MR | Zbl

[3] Sobol I. M., Levitan Yu. L., “On the use of variance reducing multipliers in Monte Carlo computations of a global sensitivity index”, Comput. Phys. Communs., 117:1–2 (1999), 52–61 | DOI | Zbl

[4] Handscomb D. C., “Remarks on a Monte Carlo integration method”, Numer. Math., 6:4 (1964), 261–268 | DOI | MR | Zbl

[5] Powell M. J. D., Swann J., “Weighted uniform sampling – a Monte Carlo technique for reducing variance”, J. Inst. Math. and its Appl., 2:3 (1966), 228–236 | DOI | MR | Zbl

[6] Eberhard P. H., Schneider O. P., “Reference functions to decrease errors in Monte Carlo integrals”, Comput. Phys. Communs., 67 (1992), 363–377 | DOI

[7] Eberhard P. H., Schneider O. P., “Example of Monte Carlo integrals where reference functions are useful”, Comput. Phys. Communs., 67 (1992), 378–388 | DOI