Study of precise Monte Carlo integration
| Project/Area Number |
26400133
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| Research Category |
Grant-in-Aid for Scientific Research (C)
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| Allocation Type | Multi-year Fund |
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| Section | 一般 |
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| Research Field |
Basic analysis
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| Research Institution | Osaka University |
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Principal Investigator |
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| Co-Investigator(Renkei-kenkyūsha) |
Takanobu Satoshi 金沢大学, 大学院自然科学研究科, 教授 (40197124)
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| Project Period (FY) |
2014-04-01 – 2018-03-31
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| Project Status |
Completed (Fiscal Year 2017)
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| Budget Amount *help |
¥3,120,000 (Direct Cost: ¥2,400,000、Indirect Cost: ¥720,000)
Fiscal Year 2017: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2016: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2015: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2014: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
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| Keywords | モンテカルロ積分 / ランダム・ワイル・サンプリング / 対独立同分布確率変数列 / k-対独立同分布確率変数列 / k対独立 |
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| Outline of Final Research Achievements |
Utilizing the fact that the law of large numbers holds for pairwise i.i.d. random variables, we realized a rigorous Monte Carlo integration, called Random Weyl sampling (RWS), with extremely reduced randomness. In this reserch, we developed a k-wise i.i.d. sampling method, which is an extension of RWS and is useful for practice. The method can compute the k-th moment of the sample mean precisely.
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Report
(5 results)
Research Products
(11 results)
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[Presentation] 確率論と乱数2014
Author(s)
杉田洋
Organizer
大阪大学確率論セミナー
Place of Presentation
大阪大学理学部
Year and Date
2014-10-21
Related Report
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