Quasi-Monte Carlo -- discrepancy between theory and practice (Q4549494)
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scientific article; zbMATH DE number 1790429
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| English | Quasi-Monte Carlo -- discrepancy between theory and practice |
scientific article; zbMATH DE number 1790429 |
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16 June 2003
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numerical integration
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survey
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quasi-Monte Carlo methods
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computational finance
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bibliography
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0.8068909049034119
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0.8068206310272217
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0.8021747469902039
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0.8010369539260864
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Quasi-Monte Carlo -- discrepancy between theory and practice (English)
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Quasi-Monte Carlo methods play an important role in modern scientific computing, particularly in problems involving high-dimensional numerical integration. This survey article discusses recent trends in quasi-Monte Carlo methods, with a focus on randomized quasi-Monte Carlo methods and attempts at their subsequent derandomization. In line with the author's interests, he also considers the implications for computational finance. A useful bibliography concludes the paper. For the entire collection see [Zbl 0980.00040].
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