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Variance reduction for Monte Carlo methods by means of deterministic numerical computation

  • A new variance reduction technique for the Monte Carlo solution of integral equations is introduced. It is based on separation of the main part. A neighboring equation with exactly known solution is constructed by the help of a deterministic Galerkin scheme. The variance of the method is analyzed, and an application to the radiosity equation of computer graphics, together with numerical test results is given.
Author:Stefan Heinrich
URN (permanent link):urn:nbn:de:hbz:386-kluedo-49545
Serie (Series number):Interner Bericht des Fachbereich Informatik (275)
Document Type:Report
Language of publication:English
Publication Date:2017/10/26
Year of Publication:1995
Publishing Institute:Technische Universität Kaiserslautern
Date of the Publication (Server):2017/10/26
Number of page:23
Faculties / Organisational entities:Fachbereich Informatik
DDC-Cassification:0 Allgemeines, Informatik, Informationswissenschaft / 004 Informatik
Licence (German):Creative Commons 4.0 - Namensnennung, nicht kommerziell, keine Bearbeitung (CC BY-NC-ND 4.0)