Effective discrepancy and numerical experiments

DOI10.1016/J.CPC.2012.07.002MaRDI QIDQ2375375zbMATH OpenOpenAlexFDO

Authors Suzanne Varet, Sidonie Lefebvre, Gérard Durand, Antoine Roblin, Serge Cohen

Publication date 14 June 2013

Published in Computer Physics Communications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cpc.2012.07.002

zbMATH Keywords

numerical examplesprojectionSobol indicesdiscrepancyeffective dimensionquasi-Monte Carlo methodhigh dimensional integral

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

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Cites work

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• From screening to quantitative sensitivity analysis. A unified approach
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• Good lattice rules in weighted Korobov spaces with general weights
• On decompositions of multivariate functions
• On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
• Projections of digital nets and sequences
• Quasi-Random Sequences and Their Discrepancies
• The jackknife estimate of variance
• When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?

Cited in

(3)

• Parametric Reliability Sensitivity Analysis Using Failure Probability Ratio Function
• On the Effect of Angular and Spatial Discretization on Perturbation Calculations
• scientific article; zbMATH DE number 3911008 (Why is no real title available?)

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