A COMPARISON OF SEVERAL STOCHASTIC TECHNIQUES FOR COMPUTATION OF MULTIDIMENSIONAL INTEGRALS

A COMPARISON OF SEVERAL STOCHASTIC TECHNIQUES FOR COMPUTATION OF MULTIDIMENSIONAL INTEGRALS

Authors

  • Venelin Todorov Bulgarian Academy of Sciences, Institute of Mathematics and Informatics and Institute of Inormation and Communication Technologies: Sofia, BG
  • Valerij Dzhurov ROUSSE UNIVERSITY ”ANGEL KANCHEV”
  • Ilian Tzvetkov ROUSSE UNIVERSITY ”ANGEL KANCHEV”

DOI:

https://doi.org/10.46687/jsar.v20i1.299

Keywords:

Monte Carlo methods, multidimensional integrals, Sobol sequence, Fibonacci lattice rule, Importance sampling algorithm

Abstract

A comprehensive experimental study based on Sobol sequence, Importance Sampling and Fibonacci based lattice rule has been done. This is the first time the Sobol sequence has been compared with the Importance sampling method for the problem under consideration. The numerical tests show that the stochastic algorithms under consideration are efficient tool for computing multidimensional integrals. In order to obtain a more accurate and reliable interpretation of the results this is very important.

Author Biographies

Venelin Todorov, Bulgarian Academy of Sciences, Institute of Mathematics and Informatics and Institute of Inormation and Communication Technologies: Sofia, BG

Bulgarian Academy of Sciences, Institute of Mathematics and Informatics and Institute of Inormation and Communication Technologies: Sofia, BG

ORCID iD icon https://orcid.org/0000-0001-7134-5901

Valerij Dzhurov, ROUSSE UNIVERSITY ”ANGEL KANCHEV”

ROUSSE UNIVERSITY ”ANGEL KANCHEV”

Ilian Tzvetkov, ROUSSE UNIVERSITY ”ANGEL KANCHEV”

ROUSSE UNIVERSITY ”ANGEL KANCHEV”

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Published

25.03.2023

How to Cite

Todorov, V. ., Dzhurov, V., & Tzvetkov, I. . (2023). A COMPARISON OF SEVERAL STOCHASTIC TECHNIQUES FOR COMPUTATION OF MULTIDIMENSIONAL INTEGRALS: A COMPARISON OF SEVERAL STOCHASTIC TECHNIQUES FOR COMPUTATION OF MULTIDIMENSIONAL INTEGRALS. JOURNAL SCIENTIFIC AND APPLIED RESEARCH, 20(1), 11–18. https://doi.org/10.46687/jsar.v20i1.299

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