Title: Bernstein Polynomials and Monte Carlo Integration
Abstract:Two variance reducing techniques, the method of control variates and the method of importance sampling, which are used in increasing the efficiency of a Monte Carlo evaluation of an integral, are desc...Two variance reducing techniques, the method of control variates and the method of importance sampling, which are used in increasing the efficiency of a Monte Carlo evaluation of an integral, are described. It is shown under very general conditions that the Bernstein polynomials can serve as both a control variate and an importance sampling function. In addition these methods can also be combined to further increase the efficiency of the Monte Carlo evaluation. An example is given to illustrate the method.Read More
Publication Year: 1967
Publication Date: 1967-12-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 9
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