Variance reduction order using good lattice points in Monte Carlo methods
DOI10.1007/BF02684386zbMATH Open0919.65013MaRDI QIDQ1282166FDOQ1282166
Authors: Bruno Tuffin 
Publication date: 23 August 1999
Published in: Computing (Search for Journal in Brave)
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numerical examplesnumerical integrationquasi-Monte Carlo methodsvariance reductioncomputational efficiencygood lattice points
Monte Carlo methods (65C05) Complexity and performance of numerical algorithms (65Y20) Numerical quadrature and cubature formulas (65D32) Well-distributed sequences and other variations (11K36)
Cites Work
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- Sequences, discrepancies and applications
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- Randomization of Number Theoretic Methods for Multiple Integration
- Some applications of multidimensional integration by parts
- Lattice Methods for Multiple Integration: Theory, Error Analysis and Examples
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- A quasirandom approach to integration in Bayesian statistics
- Gratis lattice points for multidimensional integration
- Randomization of lattice rules for numerical multiple integration
- Improved error bounds for lattice rules
- Variance reduction applied to product form multiclass queuing networks
Cited In (5)
- Variance reduction techniques and quasi-Monte Carlo methods
- Sufficient conditions for central limit theorems and confidence intervals for randomized quasi-Monte Carlo methods
- On selection criteria for lattice rules and other quasi-Monte Carlo point sets
- On the distribution of integration error by randomly-shifted lattice rules
- Estimation of multidimensional integrals: is Monte Carlo the best method?
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