Monte Carlo computation of the mean of a function with convex support. (English) Zbl 0726.62023
Summary: Let \(T=(T_ 1,...,T_ k)\) be a random vector, C a convex set and h(\(\cdot)\) a function with C as its domain. The computation of \(E\{\) h(T)\(|\) \(T\in C\}\) by Monte Carlo methods is considered. A Markov chain is constructed such that C is its sample space and its asymptotic distribution is the distribution of T given \(T\in C\). \(E\{\) h(T)\(|\) \(T\in C\}\) is then computed as the time average of h applied on the chain states.
MSC:
| 65C05 | Monte Carlo methods |
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