Optimal Monte Carlo method in estimating areas

Results in Applied Mathematics

Zhenxia Liu¹ 

[1] Department of Mathematics, Linköping University, SE-581 83 Linköping, Sweden;

关键词: Monte Carlo method;    Hit-or-miss method;    Large deviations;   

DOI  :  

来源: DOAJ

【 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.

【 授权许可】

Unknown