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On the optimization of approximate integration by Monte Carlo methods

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Abstract

We solve the problem of optimization of monte Carlo methods for approximate integration over an arbitrary absolutely continuous measure. We propose a convenient model of Monte Carlo methods which uses the notion of transition probability.

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Authors
  1. V. F. Babenko
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Additional information

Dnepropetrovsk University, Dnepropetrovsk. Translated from Ukrainskii Matematicheskii Zhurnal, Vol. 49, No. 4, pp. 475–480, April, 1997.

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Babenko, V.F. On the optimization of approximate integration by Monte Carlo methods. Ukr Math J 49, 523–528 (1997). https://doi.org/10.1007/BF02487314

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  • DOI: https://doi.org/10.1007/BF02487314

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