Package org.drip.numerical.rdintegration

Class VarianceSamplingSetting

java.lang.Object

org.drip.numerical.rdintegration.VarianceSamplingSetting

public class VarianceSamplingSetting
extends java.lang.Object

VarianceSamplingSetting implements the Settings for Variance Sampling used in 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
VarianceSamplingSetting(int zoneIterationCount, int inDimensionEstimationPointCount, int outOfDimensionEstimationPointCount)	VarianceSamplingSetting Constructor

Method Summary

Modifier and Type	Method	Description
int	inDimensionEstimationPointCount()	Retrieve the Count of Variance In-dimension Sampling Estimate Points
int	outOfDimensionEstimationPointCount()	Retrieve the Count of Variance Out-of-dimension Sampling Estimate Points
int	zoneIterationCount()	Retrieve the Count of Variance Iteration Zones

Methods inherited from class java.lang.Object

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

Constructor Details

VarianceSamplingSetting

public VarianceSamplingSetting(int zoneIterationCount,
int inDimensionEstimationPointCount,
int outOfDimensionEstimationPointCount)
                        throws java.lang.Exception

VarianceSamplingSetting Constructor

Parameters:

zoneIterationCount - Count of Variance Iteration Zones

inDimensionEstimationPointCount - Count of In-dimension Variance Sampling Estimate Points

outOfDimensionEstimationPointCount - Count of Out-of-dimension Variance Sampling Estimate Points

Throws:

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

Method Details

zoneIterationCount

public int zoneIterationCount()

Retrieve the Count of Variance Iteration Zones

Returns:

Count of Variance Iteration Zones

inDimensionEstimationPointCount

public int inDimensionEstimationPointCount()

Retrieve the Count of Variance In-dimension Sampling Estimate Points

Returns:

Count of Variance In-dimension Sampling Estimate Points

outOfDimensionEstimationPointCount

public int outOfDimensionEstimationPointCount()

Retrieve the Count of Variance Out-of-dimension Sampling Estimate Points

Returns:

Count of Variance Out-of-dimension Sampling Estimate Points