Quasi-Monte Carlo: a high-dimensional experiment (Q742075)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Quasi-Monte Carlo: a high-dimensional experiment |
scientific article; zbMATH DE number 6345429
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Quasi-Monte Carlo: a high-dimensional experiment |
scientific article; zbMATH DE number 6345429 |
Statements
Quasi-Monte Carlo: a high-dimensional experiment (English)
0 references
17 September 2014
0 references
The authors present a new numerical evidence that certain very high-dimensional integrals can be efficiently approximated by quasi-Monte Carlo-methods (dimension \(>1000\)). If the average dimension in the sense of Owen is sufficiently small, the convergence rate is close to \(1/N\) (for \(N\) integration points).
0 references
quasi-Monte Carlo
0 references
Sobol sequences
0 references
high-dimensional integration
0 references
average dimension
0 references
mean dimension
0 references
0.8588842153549194
0 references
0.850782573223114
0 references
0.850782573223114
0 references
0.831813395023346
0 references
