An Attempt on Improve Sampling Effectiveness of Monte-Carlo Method in Stochastic Analysis

Monte-Carlo Method is the representative statistical method in stochastic analysis.This method has no restriction on the variation of random variables and the dimension of problems.And its solutions often be regarded as relative accurate solutions.Thus this method has been paid widely attention.Sampling is the base of Monte-Carlo method.The major sampling method are the traditional sampling method and the Latin-Hypercube sampling method in the current.The basic principle and sampling effectiveness for two sampling methods have been introduced.On this basis,an attempt algorithm on improve sampling effectiveness has been put forward.This algorithm is simple and effective,and finally the calculation efficiency of Monte-Carlo method be improved.The algorithm's effectiveness is approved by theoretically derived and numerical examples.