Using parallel methods for computing Monte Carlo integration

Volume 3 - 2011
A. Stančić,   M. Prokopijević
Abstract

Monte Carlo methods are used when theory is impossible to apply or when the theory doesn’t exist. On the other hand, parallelisation is a powerful tool for speeding up the execution of an algorithm. In this paper, it is analyzed how parallelisation of Monte Carlo methods, Quazi Monte Carlo (MISER) algorithms by using MPI library can speed up the calculation of one dimensional and multidimensional integrals.

Keywords: Monte Carlo, MISER, интеграција
Published on website: 19.2.2011