Weighted Uniform Sampling — a Monte Carlo Technique for Reducing Variance

1 September 1966

journal article
Published by Oxford University Press (OUP) in IMA Journal of Applied Mathematics

Vol. 2 (3) , 228-236
https://doi.org/10.1093/imamat/2.3.228

Abstract

A new Monte Carlo technique for reducing variance is presented and analysed. It obtains gains in accuracy comparable to those realized by importance sampling (Hammersley & Handscomb, 1964), without requiring the use of non-uniform probability distributions. Some numerical examples illustrate the theory.

Keywords

MONTE CARLO
CARLO TECHNIQUE
REDUCING VARIANCE
WEIGHTED UNIFORM SAMPLING

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