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2017 Fiscal Year Final Research Report

Study of precise Monte Carlo integration

Research Project

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Project/Area Number 26400133
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Basic analysis
Research InstitutionOsaka University

Principal Investigator

Sugita Hiroshi  大阪大学, 理学研究科, 教授 (50192125)

Co-Investigator(Renkei-kenkyūsha) Takanobu Satoshi  金沢大学, 大学院自然科学研究科, 教授 (40197124)
Project Period (FY) 2014-04-01 – 2018-03-31
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
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.

Free Research Field

確率論

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Published: 2019-03-29  

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