The effective dimension and quasi-Monte Carlo integration (Q1869960)
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| Language | Label | Description | Also known as |
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| English | The effective dimension and quasi-Monte Carlo integration |
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The effective dimension and quasi-Monte Carlo integration (English)
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4 May 2003
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It was found empirically that quasi-Monte Carlo methods are superior to Monte Carlo methods for high-dimensional integrals arising in finance. This performance is related the notion of effective dimension. The main objectives of this paper are: (1) to analyse the effective dimension for some functions; (2) to develop numerical algorithms for determining the effective dimension of an arbitrary square integrable function; (3) to compare the performance of dimension reduction techniques.
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effective dimension
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quasi-Monte Carlo methods
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low discrepancy sequences
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multivariate integration
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dimension reduction
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algorithms
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