A benchmark study on intelligent sampling techniques in Monte Carlo simulation

In recent years, new, intelligent and efficient sampling techniques for Monte Carlo simulation have been developed. However, when such new techniques are introduced, they are compared to one or two existing techniques, and their performance is evaluated over two or three problems. A literature survey shows that benchmark studies, comparing the performance of several techniques over several problems, are rarely found. This article presents a benchmark study, comparing Simple or Crude Monte Carlo with four modern sampling techniques: Importance Sampling Monte Carlo, Asymptotic Sampling, Enhanced...