An Alternative Algorithm for Estimating Integrals
HU Guo-rong · Journal of Jilin University(Science Edition) · 2006
To enhance the computing speed of high dimensional integral, an alternative Monte Carlo sampling algorithm is proposed in this paper.Firstly, the integral region is partitioned into net form. Secondly, grid points are sampled by using discrete Gibbs sampling method whose weighted functions are values of corresponding density function. Lastly, a new sampling sequence will be obtained by adding an uniform variable sequence to the original sequence correspondingly, and an estimation of the integral is given. The new sampling algorithm is as simple as the traditional numerical method. Simulating output showed that the new algorithm performs very well in computing speed.