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Patent Title: High speed numerical integration method and system

Assignee: IBM
Patent Number: US6304888
Issue Date: 10-16-2001
Application Number:
File Date:02-17-1999

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.


Link to USPTO

IBM Pledge dated 1/11/2005