On reduction of finite-sample variance by extended Latin hypercube sampling (Q5933569)
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scientific article; zbMATH DE number 1599427
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English | On reduction of finite-sample variance by extended Latin hypercube sampling |
scientific article; zbMATH DE number 1599427 |
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On reduction of finite-sample variance by extended Latin hypercube sampling (English)
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26 July 2001
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The problem of reducing the finite-sample variance is very important for the Monte Carlo technique, and this work gives new results in this direction. Theoretical investigations are supported by numerical simulations and this gives evidence concerning trustworthiness of theoretical conclusions. Nevertheless it is worth to mention that some citations are missing, I think the work by \textit{I. Sobol'} and \textit{A. Tutunnikov} [Math. Comput. Modelling 23, No. 8-9, 87-96 (1996; Zbl 0858.65024)] and other works of these authors are very close to the considered problem to be referred in this work.
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Latin hypercube sampling
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variance reduction
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Monte Carlo method
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