Optimal Monte Carlo method in estimating areas

被引：2
|
作者：
Liu, Zhenxia [1 ]
机构：
[1] Linkoping Univ, Dept Math, SE-58183 Linkoping, Sweden
来源：
RESULTS IN APPLIED MATHEMATICS | 2021年 / 12卷
关键词：
Monte Carlo method; Hit-or-miss method; Large deviations;
D O I：
10.1016/j.rinam.2021.100205
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
It is well known that Monte Carlo method can be used to estimate the area of a region which cannot be computed directly. There are a lot of ways to choose a larger region whose area is computable when one performs Monte Carlo method, but which region is the best? In this note, we find a best region in terms of fastest speed of convergence in probability, with the help of large deviations. (C) 2021 The Author(s). Published by Elsevier B.V.
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页数：5
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