Quasi-Monte Carlo: a high-dimensional experiment (Q742075)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Quasi-Monte Carlo: a high-dimensional experiment |
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Quasi-Monte Carlo: a high-dimensional experiment (English)
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17 September 2014
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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).
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quasi-Monte Carlo
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Sobol sequences
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high-dimensional integration
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average dimension
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mean dimension
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