P. Gajda, Y. Li, L. Plaskota, and .W. Wasilkowski

A Monte Carlo algorithm for weighted integration over $R^d$

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Abstract.   We present and analyze a new randomized algorithm for numerical computation of weighted integrals over unbounded domain $R^d$. The algorithm and its desirable theoretical properties are derived based on certain stochastic assumptions about the integrands. It is easy to implement, enjoys $O(n^{-1/2})$ convergence rate, and uses only standard random number generators. Numerical results are also included.

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