Variance reduction in Monte Carlo for Integrals

Abstract

Abstract. Nowadays, the extensive use of Monte Carlo methods in various fields has promoted the scientific decision-making, improved the efficiency of social operation, and enabled better management of many uncertain factors in daily life. However, in some cases, traditional Monte Carlo methods doesn't work so well because of the excessive variance. This paper aims to explore a new numerical integration method called splitting method to minimize intrinsic variance in Monte Carlo simulations. Through this innovative method, we found that the variance was reduced significantly. Despite some oscillating functions which are still difficult to estimate because they have too many turning points, this study provides new insights into variance reduction in Monte Carlo for integrals to optimize calculations in various fields when the modelling functions are not monotonic.