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CLASSICAL TECHNIQUES

  • Stratified Sampling
  • Divide the full integration interval into subspaces
  • Perform MC integration in each subspace of volume Vj
  • Add up the results
  • sum of variances of individual pieces; Nj events in each interval j
  • can lead to dramatic reduction in s (right choice of k,Nj)
  • but also to larger s ...
  • safe choice : uniform stratification
  • High-Dimension case : may not be evident how to divide integration regions+computational overhead may be a problem