Monte Carlo pp 335-491 | Cite as

Random Tours

  • George S. Fishman
Part of the Springer Series in Operations Research book series (ORFE)

Abstract

This chapter considerably broadens the range of application of the Monte Carlo method by introducing the concept of a random tour on discrete, continuous, and general state spaces. This development serves several purposes, of which the ability to sample from a multivariable distribution remains preeminent. Let {F(x), x ∈ ℋ} denote an m-dimensional d.f. defined on a region ℋ ⊆ ℝ m , and let {g(x), x ∈ ℋ} denote a known function satisfying ∫ g 2(x)dF(x) < ∞. Suppose that the objective is to evaluate
$$\mu \left( g \right) = \int {_x} g\left( x \right)dF\left( x \right).$$
(0)

Keywords

Manifold Attenuation Covariance Stratification Expense 

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Copyright information

© Springer Science+Business Media New York 1996

Authors and Affiliations

  • George S. Fishman
    • 1
  1. 1.Department of Operations ResearchUniversity of North CarolinaChapel HillUSA

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