A Note on Linear Extrapolation of Multivariable Functions by the Monte Carlo Method

Abstract

The feasibility of Monte Carlo linear extrapolation of multivariable functions is discussed. The method considered is a modified version of the Monte Carlo method for linear interpolation. An effective truncation procedure is introduced, which not only economizes the machine time to a greet extent, but also serves for the purpose of variance reduction. A few examples were tested, all of which have shown that the method is promising.