A note on concatenation of quasi-Monte Carlo and plain Monte Carlo rules in high dimensions

DOI10.1016/J.JCO.2022.101647zbMath1493.65010arXiv2106.12184OpenAlexW3173895886WikidataQ114163588 ScholiaQ114163588MaRDI QIDQ2145075

Takashi Goda

Publication date: 17 June 2022

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2106.12184

zbMATH Keywords

quasi-Monte Carlo methodhigh-dimensional integrationweighted function spaceplain Monte Carlo methodrank-1 lattice rule

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30)

Related Items (1)

Bypassing the quadrature exactness assumption of hyperinterpolation on the sphere

Uses Software

• QMC4PDE

Cites Work

• Unnamed Item
• Very low truncation dimension for high dimensional integration under modest error demand
• A reduced fast component-by-component construction of lattice points for integration in weighted spaces with fast decreasing weights
• Application of quasi-Monte Carlo methods to elliptic PDEs with random diffusion coefficients: a survey of analysis and implementation
• On a projection-corrected component-by-component construction
• When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
• Lattice sampling revisited: Monte Carlo variance of means over randomized orthogonal arrays
• Component-by-component constructions achieve the optimal rate of convergence for multivariate integration in weighted Korobov and Sobolev spaces
• Stability of lattice rules and polynomial lattice rules constructed by the component-by-component algorithm
• On probabilistic results for the discrepancy of a hybrid-Monte Carlo sequence
• Approximate formulas for some functions of prime numbers
• Component-by-component construction of good lattice rules
• Probabilistic error bounds for the discrepancy of mixed sequences
• A Probabilistic Result on the Discrepancy of a Hybrid-Monte Carlo Sequence and Applications
• On the discrepancy of some hybrid sequences
• 3. On negatively dependent sampling schemes, variance reduction, and probabilistic upper discrepancy bounds
• Fast algorithms for component-by-component construction of rank-1 lattice rules in shift-invariant reproducing kernel Hilbert spaces
• Latin supercube sampling for very high-dimensional simulations
• Quasi-Monte Carlo Finite Element Methods for a Class of Elliptic Partial Differential Equations with Random Coefficients
• Constructing QMC Finite Element Methods for Elliptic PDEs with Random Coefficients by a Reduced CBC Construction
• Introduction to Quasi-Monte Carlo Integration and Applications
• High-dimensional integration: The quasi-Monte Carlo way
• Quasi–Monte Carlo integration with product weights for elliptic PDEs with log-normal coefficients

This page was built for publication: A note on concatenation of quasi-Monte Carlo and plain Monte Carlo rules in high dimensions