Variance reduction for Monte Carlo methods by means of deterministic numerical computation
- A new variance reduction technique for the Monte Carlo solution of integral equations is introduced. It is based on separation of the main part. A neighboring equation with exactly known solution is constructed by the help of a deterministic Galerkin scheme. The variance of the method is analyzed, and an application to the radiosity equation of computer graphics, together with numerical test results is given.
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| Author: | Stefan Heinrich |
|---|---|
| URN: | urn:nbn:de:hbz:386-kluedo-49545 |
| Series (Serial Number): | Interner Bericht des Fachbereich Informatik (275) |
| Document Type: | Report |
| Language of publication: | English |
| Date of Publication (online): | 2017/10/26 |
| Year of first Publication: | 1995 |
| Publishing Institution: | Technische Universität Kaiserslautern |
| Date of the Publication (Server): | 2017/10/26 |
| Page Number: | 23 |
| Faculties / Organisational entities: | Kaiserslautern - Fachbereich Informatik |
| DDC-Cassification: | 0 Allgemeines, Informatik, Informationswissenschaft / 004 Informatik |
| Licence (German): |  Creative Commons 4.0 - Namensnennung, nicht kommerziell, keine Bearbeitung (CC BY-NC-ND 4.0) |