On Figures of Merit for Randomly-Shifted Lattice Rules
From MaRDI portal
Publication:5326103
DOI10.1007/978-3-642-27440-4_6zbMath1271.65045MaRDI QIDQ5326103
Publication date: 31 July 2013
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-27440-4_6
performance; numerical examples; variance reduction; randomized quasi-Monte Carlo; randomly shifted lattice rules
Related Items
Lattice algorithms for multivariate approximation in periodic spaces with general weight parameters, Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning, Construction-Free Median Quasi-Monte Carlo Rules for Function Spaces with Unspecified Smoothness and General Weights, Primal–dual quasi-Monte Carlo simulation with dimension reduction for pricing American options, Fast component-by-component construction of lattice algorithms for multivariate approximation with POD and SPOD weights, A Tool for Custom Construction of QMC and RQMC Point Sets, Variance bounds and existence results for randomly shifted lattice rules, Scenario generation for stochastic optimization problems via the sparse grid method, Variance reduction with array-RQMC for tau-leaping simulation of stochastic biological and chemical reaction networks, An algorithm to compute the \(t\)-value of a digital net and of its projections, Quasi-Monte Carlo Image Synthesis in a Nutshell
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Quasi-Monte Carlo methods with applications in finance
- The jackknife estimate of variance
- When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
- Liberating the weights
- On the distribution of integration error by randomly-shifted lattice rules
- Good lattice rules in weighted Korobov spaces with general weights
- Monte Carlo and quasi-Monte Carlo sampling
- Component-by-component construction of good lattice rules
- Correlation-Induction Techniques for Estimating Quantiles in Simulation Experiments
- Variance Reduction via Lattice Rules
- On the step-by-step construction of quasi--Monte Carlo integration rules that achieve strong tractability error bounds in weighted Sobolev spaces
- A Belgian View on Lattice Rules
- Randomization of Number Theoretic Methods for Multiple Integration
- Latin supercube sampling for very high-dimensional simulations
- A generalized discrepancy and quadrature error bound
- Good Parameters and Implementations for Combined Multiple Recursive Random Number Generators
- Integrated Variance Reduction Strategies for Simulation
- Monte Carlo estimators for small sensitivity indices
- Constructing Robust Good Lattice Rules for Computational Finance