Discrepancy between QMC and RQMC

MaRDI QIDQ5449227zbMATH OpenFDO

Authors Shu Tezuka

Publication date 11 March 2008

zbMATH Keywords

ANOVA decompositioneffective dimensiongeneralized Sobol' sequenceshigh dimensional integralsmultidimensional Walsh seriesOwen's scramblingquasi-Monte Carlo methodrandomized quasi-Monte Carlo method

Mathematics Subject Classification ID

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

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Cited in

(4)

• On the inconsistency of IQML
• Sorting methods and convergence rates for Array-RQMC: some empirical comparisons
• Discrepancy between QMC and RQMC. II
• On Dropping the First Sobol’ Point

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