| 一个计算积分的替代抽样方法 |
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| 引用本文： | 胡果荣,史宁中,张宝学.一个计算积分的替代抽样方法[J].吉林大学学报(理学版),2006,44(3):362-366. |
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| 作者姓名： | 胡果荣 史宁中 张宝学 |
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| 作者单位： | 吉林大学,数学研究所,长春,130012;东北师范大学,数学与统计学院,长春,130024;东北师范大学,数学与统计学院,长春,130024 |
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| 基金项目： | 中国科学院资助项目;东北师范大学校科研和教改项目 |
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| 摘 要： | 为提高高维积分的计算速度, 提出一种替换Monte Carlo积分方法. 将积分区域以网格的形式离散化, 再在网格上以相应的密度函数之值为权函数采用离散的Gibbs抽样算法抽样, 对抽样得到的样本作均匀扰动后就可获得所需的新抽样序列,从而得到积分的近似估计值. 模拟表明新算法计算速度较快.
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| 关 键 词： | 模拟 重要性抽样 Gibbs抽样 格子点 数值积分 |
| 文章编号： | 1671-5489(2006)03-0362-05 |
| 收稿时间： | 2005-10-27 |
| 修稿时间： | 2005年10月27 |
An Alternative Algorithm for Estimating Integrals |
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| HU Guo-rong,SHI Ning-zhong,ZHANG Bao-xue.An Alternative Algorithm for Estimating Integrals[J].Journal of Jilin University: Sci Ed,2006,44(3):362-366. |
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| Authors: | HU Guo-rong SHI Ning-zhong ZHANG Bao-xue |
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| Institution: | 1. Institute of Mathematics, Jilin University, Changchun 130012, China; 2. School of Mathematics and Statistics, Northeast Normal University, Changchun 130024, China |
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| Abstract: | To enhance the computing speed of high dimensional integral, an alternative Monte Carlo sampling algorithm is proposed in this paper.Firstly, the integral region is partitioned into net form. Secondly, grid points are sampled by using discrete Gibbs sampling method whose weighted functions are values of corresponding density function. Lastly, a new sampling sequence will be obtained by adding an uniform variable sequence to the original sequence correspondingly, and an estimation of the integral is given. The new sampling algorithm is as simple as the traditional numerical method. Simulating output showed that the new algorithm performs very well in computing speed. |
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| Keywords: | simulation important sampling Gibbs sampling grid point numerical integral |
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