High speed numerical integration method and system
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United States of America Patent
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Oct 16, 2001
Grant Date -
N/A
app pub date -
Feb 17, 1999
filing date -
Feb 17, 1998
priority date (Note) -
Expired
status (Latency Note)
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Abstract
To provide a numerical integration system and method, suitable for a high-order dimensional Monte Carlo calculation and having high convergence speed without incurring a calculation time penalty, a multi-dimensional sequence is first converted into a one-dimensional value. Then the conversion is optimized in accordance with characteristics of a model. A summation calculation is corrected by using an averaged weight, instead of correcting the values of a random sequence. Then a histogram is prepared to correct the overall shape of the distribution of a random number sequence. DA sum is calculated for each group obtained when the histogram is prepared. As a result, the convergence speed is increased without sacrificing the calculation time.
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