Extended Latin hypercube sampling for integration and simulation

DOI10.1007/978-3-642-41095-6_13MaRDI QIDQ2926221zbMATH OpenOpenAlexFDO

Authors Rami El Haddad, Rana Fakhereddine, Christian Lécot, G. Venkiteswaran

Publication date 31 October 2014

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-41095-6_13

zbMATH Keywords

Latin hypercube samplingMonte Carlo simulationnumerical experimentnumerical quadraturerandom walk method

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

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(9)

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• Stratified Monte Carlo simulation of Markov chains
• Latin supercube sampling for very high-dimensional simulations
• A central limit theorem for Latin hypercube sampling with dependence and application to exotic basket option pricing
• A fast general extension algorithm of Latin hypercube sampling
• Sudoku Latin Square Sampling for Markov Chain Simulation
• Latinized improved LHS, and CVT point sets in hypercubes
• Comparison of Monte Carlo simulations of cytochrome b\(_6\)f with experiment using Latin hypercube sampling
• Simple stratified sampling for simulating multi-dimensional Markov chains

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