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INTERPOLATION, QUADRATURE, AND STOCHASTIC INTEGRATION
Published online by Cambridge University Press: 25 September 2001
Abstract
This paper considers features in numerical and stochastic integration approaches for the evaluation of analytically intractable integrals. It provides a unification of these two approaches. Some important features in quadrature formulations, namely, interpolation and region partition, can provide a valuable device for the design of a stochastic simulator. An interpolating function can be used as a valuable control variate for variance reduction in simulation. We illustrate possible variance reduction by some numerical cases with Gaussian quadrature. The resulting simulator may also be regarded as a monitor of the approximation error of a quadrature.
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- © 2001 Cambridge University Press
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