Package org.drip.numerical.rdintegration

Class RecursiveStratifiedSamplingIntegrator

java.lang.Object

org.drip.numerical.rdintegration.MonteCarloIntegrator

org.drip.numerical.rdintegration.UniformSamplingIntegrator

org.drip.numerical.rdintegration.RecursiveStratifiedSamplingIntegrator

public class RecursiveStratifiedSamplingIntegrator
extends UniformSamplingIntegrator

RecursiveStratifiedSamplingIntegrator implements the following routines for Monte-Carlo Integration of R^d To R¹ objective Function. The References are:

• Kroese, D. P., T. Taimre, and Z. I. Botev (2011): Handbook of Monte Carlo Methods John Wiley and Sons Hoboken NJ
• MacKay, D. (2003): Information Theory, Inference, and Learning Algorithms Cambridge University Press New York NY
• Newman, M. E. J., and G. T. Barkema (1999): Monte Carlo Methods in Statistical Physics Oxford University Press Oxford UK
• Press, W. H., S. A. Teukolsky, W. T. Vetterling, B. P. Flannery (2007): Numerical Recipes: The Art of Scientific Computing 3^rd Edition Cambridge University Press New York NY
• Wikipedia (2025): Monte Carlo Integration https://en.wikipedia.org/wiki/Monte_Carlo_integration

• Module = Computational Core Module
• Library = Numerical Analysis Library
• Project = Numerical Quadrature, Differentiation, Eigenization, Linear Algebra, and Utilities
• Package = R^d to R¹ Numerical Integration Schemes

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
RecursiveStratifiedSamplingIntegrator(QuadratureSetting integratorSetting, VarianceSamplingSetting varianceSamplingSetting, int samplingPointCount, boolean diagnosticsOn)	RecursiveStratifiedSamplingIntegrator Constructor

Method Summary

Modifier and Type	Method	Description
MonteCarloRun	quadratureRun()	Compute the MonteCarloRun Stratified Sampling Run
VarianceSamplingZoneExtractor	varianceSamplingZoneExtractor()	Retrieve the Variance Sampling Zone Extractor Instance

Methods inherited from class org.drip.numerical.rdintegration.UniformSamplingIntegrator

integrandSampleArray

Methods inherited from class org.drip.numerical.rdintegration.MonteCarloIntegrator

diagnosticsOn, integratorSetting, samplingPointCount

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

RecursiveStratifiedSamplingIntegrator

public RecursiveStratifiedSamplingIntegrator(QuadratureSetting integratorSetting,
VarianceSamplingSetting varianceSamplingSetting,
int samplingPointCount,
boolean diagnosticsOn)
                                      throws java.lang.Exception

RecursiveStratifiedSamplingIntegrator Constructor

Parameters:

integratorSetting - Underlying RdToR1IntegratorSetting Instance

varianceSamplingSetting - Variance Sampling Setting Instance

samplingPointCount - Sampling Points Count

diagnosticsOn - TRUE - Diagnostics are turned on

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

varianceSamplingZoneExtractor

public VarianceSamplingZoneExtractor varianceSamplingZoneExtractor()

Retrieve the Variance Sampling Zone Extractor Instance

Returns:

Variance Sampling Zone Extractor Instance

quadratureRun

public MonteCarloRun quadratureRun()

Compute the MonteCarloRun Stratified Sampling Run

Overrides:

quadratureRun in class UniformSamplingIntegrator

Returns:

MonteCarloRun Stratified Sampling Run