A Monte Carlo method for high dimensional integration
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- Ogata, Y. Numer. Math. (1989) 55: 137. doi:10.1007/BF01406511
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A new method for the numerical integration of very high dimensional functions is introduced and implemented based on the Metropolis' Monte Carlo algorithm. The logarithm of the high dimensional integral is reduced to a 1-dimensional integration of a certain statistical function with respect to a scale parameter over the range of the unit interval. The improvement in accuracy is found to be substantial comparing to the conventional crude Monte Carlo integration. Several numerical demonstrations are made, and variability of the estimates are shown.