Probabilistic error bounds for the discrepancy of mixed sequences

DOI10.1515/MCMA-2012-0006MaRDI QIDQ2895880zbMATH OpenOpenAlexFDO

Authors Christoph Aistleitner, Markus Hofer

Publication date 13 July 2012

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/mcma-2012-0006

zbMATH Keywords

discrepancymixed sequencesMonte Carlo methodnumerical integrationprobabilistic methodsquasi-Monte Carlo method

Mathematics Subject Classification ID

Irregularities of distribution, discrepancy (11K38) Monte Carlo methods (65C05)

Review text

An interval partioning technique is used to improve the probabilistic bounds for the discrepancy of mixed sequences of Monte Carlo sequences and quasi-Monte Carlo sequences, which are often adapted for very high-dimensional numerical integration.

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(11)

• A note on concatenation of quasi-Monte Carlo and plain Monte Carlo rules in high dimensions
• Discrepancy bounds for a class of negatively dependent random points including Latin hypercube samples
• On probabilistic results for the discrepancy of a hybrid-Monte Carlo sequence
• A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance
• Uniformly distributed points on the sphere
• A Probabilistic Result on the Discrepancy of a Hybrid-Monte Carlo Sequence and Applications
• Correction of a proof in “A probabilistic result on the discrepancy of a hybrid-Monte Carlo sequence and applications”
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• On G-discrepancy and mixed Monte Carlo and quasi-Monte Carlo sequences
• A mixed Monte Carlo and quasi-Monte Carlo sequence for multidimensional integral estimation
• Further discrepancy bounds and an Erdös-Turán-Koksma inequality for hybrid sequences

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