Unformatted text preview: exponentially with the dimensionality of the integral. For this reason, such methods cannot be applied to integrals of more than a few dimensions. The Monte Carlo method does not suffer from the curse of dimensionality. It is as applicable to a 1000dimensional integral as it is to a onedimensional integral. While increasing the sample size is one technique for reducing the standard error of a Monte Carlo analysis, doing so can be computationally expensive. A better solution is to employ some technique of variance reduction. These techniques incorporate additional information about the analysis directly into the estimator. This allows them to make the Monte Carlo estimator more deterministic, and hence have a lower standard error....
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 Fall '06
 gallivan
 Numerical Analysis, Normal Distribution

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