Sampling and Change of Measure for Monte Carlo Integration on Simplices

Abstract

Simplices are the fundamental domain when integrating over convex polytopes. The aim of this work is to establish a novel framework of Monte Carlo integration over simplices, throughout from sampling to variance reduction. Namely, we develop a uniform sampling method on the standard simplex consisting of two independent procedures and construct theories on change of measure on each of the two independent elements in the developed sampling technique with a view towards variance reduction by importance sampling. We provide illustrative figures and numerical results to support our theoretical findings and demonstrate the strong potential of the developed framework for effective implementation and acceleration of Monte Carlo integration over simplices.