Package org.drip.numerical.rdintegration

Class VarianceSamplingZoneExtractor

java.lang.Object

org.drip.numerical.rdintegration.VarianceSamplingZoneExtractor

public class VarianceSamplingZoneExtractor
extends java.lang.Object

VarianceSamplingZoneExtractor implements the Scheme for generating Variance Zones used in Recursive Sampling Monte-Carlo Integration of R^d To R¹ Integrand. 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
VarianceSamplingZoneExtractor(QuadratureSetting quadratureSetting, VarianceSamplingSetting varianceSamplingSetting)	VarianceSamplingZoneExtractor Constructor

Method Summary

Modifier and Type	Method	Description
java.util.List<QuadratureZone>	optimalQuadratureZoneList(MonteCarloRun monteCarloRun)	Extract the List of "Optimal" Quadrature Zones
QuadratureSetting	quadratureSetting()	Retrieve the Underlying Quadrature Setting Instance
java.util.List<QuadratureZone>	subDivideVarianceZones(MonteCarloRunStratifiedDiagnostics monteCarloRunStratifiedDiagnostics, java.util.List<QuadratureZone> quadratureZoneList)	Compute the List of Optimized Quadrature Zones
VarianceSamplingSetting	varianceSamplingSetting()	Retrieve the VarianceSamplingSetting Instance

Methods inherited from class java.lang.Object

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

Constructor Details

VarianceSamplingZoneExtractor

public VarianceSamplingZoneExtractor(QuadratureSetting quadratureSetting,
VarianceSamplingSetting varianceSamplingSetting)
                              throws java.lang.Exception

VarianceSamplingZoneExtractor Constructor

Parameters:

quadratureSetting - Underlying Quadrature Setting Instance

varianceSamplingSetting - VarianceSamplingSetting Instance

Throws:

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

Method Details

quadratureSetting

public QuadratureSetting quadratureSetting()

Retrieve the Underlying Quadrature Setting Instance

Returns:

Underlying Quadrature Setting Instance

varianceSamplingSetting

public VarianceSamplingSetting varianceSamplingSetting()

Retrieve the VarianceSamplingSetting Instance

Returns:

VarianceSamplingSetting Instance

subDivideVarianceZones

public java.util.List<QuadratureZone> subDivideVarianceZones(MonteCarloRunStratifiedDiagnostics monteCarloRunStratifiedDiagnostics,
java.util.List<QuadratureZone> quadratureZoneList)

Compute the List of Optimized Quadrature Zones

Parameters:

monteCarloRunStratifiedDiagnostics - MonteCarloRun Stratified Diagnostics

quadratureZoneList - List of Input Quadrature Zones

Returns:

List of Optimized Quadrature Zones

optimalQuadratureZoneList

public java.util.List<QuadratureZone> optimalQuadratureZoneList(MonteCarloRun monteCarloRun)

Extract the List of "Optimal" Quadrature Zones

Parameters:

monteCarloRun - MonteCarloRun Stratified Diagnostics

Returns:

List of "Optimal" Quadrature Zones