Monte Carlo integration with quasi-random numbers: Experience with discontinuous integrands

DOI10.1016/S0010-4655(96)00131-2MaRDI QIDQ1295818zbMATH OpenOpenAlexFDO

Authors V. Pereyra

Publication date 5 October 1999

Published in Computer Physics Communications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0010-4655(96)00131-2

zbMATH Keywords

numerical examplesMonte Carlo integrationquasi-random numbersquasi-Monte Carlo integrationpseudo-random numberspseudo-random samplingquasi-random sampling

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32)

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Cites work

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• A Quasi-Monte Carlo Approach to Particle Simulation of the Heat Equation
• Discrépance de suites associées à un système de numération (en dimension s)
• Fast, portable, and reliable algorithm for the calculation of Halton numbers
• Implementation and tests of low-discrepancy sequences
• Monte Carlo integration with quasi-random numbers: Some experience
• Quasi-Monte Carlo integration
• Quasi-Monte Carlo methods and pseudo-random numbers
• Quasi-Random Methods for Estimating Integrals Using Relatively Small Samples
• Radiative heat transfer with quasi-monte carlo methods

Cited in

(19)

• scientific article; zbMATH DE number 2206824 (Why is no real title available?)
• Quasi-Monte Carlo Methods for Numerical Integration: Comparison of Different Low Discrepancy Sequences
• A quasirandom approach to integration in Bayesian statistics
• On the convergence rate of randomized quasi-Monte Carlo for discontinuous functions
• Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing
• Atomic and molecular calculations using quasirandom numbers
• Watermarking-based remote secure sequential fusion estimation under the event-triggered mechanism
• Quasi-Monte Carlo for integrands with point singularities at unknown locations
• Multidimensional sampling for simulation and integration: Measures, discrepancies, and quasi-random numbers
• Discrepancy behaviour in the non-asymptotic regime
• On the error rate of conditional quasi-Monte Carlo for discontinuous functions
• Error trends in quasi-Monte Carlo integration
• Quasi-random integration in high dimensions
• Quasi-Monte Carlo methods applied to tau-leaping in stochastic biological systems
• Improving the rejection sampling method in quasi-Monte Carlo methods
• Golden ratio versus pi as random sequence sources for Monte Carlo integration
• scientific article; zbMATH DE number 822302 (Why is no real title available?)
• Gaussian limits for discrepancies. I: Asymptotic results
• Estimation of multidimensional integrals: is Monte Carlo the best method?

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Uses Software

• Mathematica

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