Integration and approximation based on scramble sampling in arbitrary dimensions

DOI10.1006/JCOM.2001.0602MaRDI QIDQ1347865zbMATH OpenOpenAlexFDO

Authors Rong-Xian Yue, Fred J. Hickernell

Publication date 23 October 2002

Published in Journal of Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1006/jcom.2001.0602

zbMATH Keywords

average case settingMonte Carlo methodnumerical integrationreproducing kernelscramble sampling schemeworst case setting

Mathematics Subject Classification ID

Pseudo-random numbers; Monte Carlo methods (11K45) Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32)

Recommendations

• Strong tractability of integration using scrambled Niederreiter points
• Intractability results for integration and discrepancy
• Error analysis on scrambled quasi-Monte Carlo quadrature rules using Sobol points
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• Higher order scrambled digital nets achieve the optimal rate of the root mean square error for smooth integrands

Cites work

• scientific article; zbMATH DE number 1321825 (Why is no real title available?)
• scientific article; zbMATH DE number 822320 (Why is no real title available?)
• Integration and approximation in arbitrary dimensions
• Monte Carlo Variance of Scrambled Net Quadrature
• On the variance of quadrature over scrambled nets and sequences
• Scrambled net variance for integrals of smooth functions
• Scrambling Sobol' and Niederreiter-Xing points
• Ten Lectures on Wavelets
• The asymptotic efficiency of randomized nets for quadrature
• The exponent of discrepancy is at most 1.4778...
• The mean square discrepancy of randomized nets
• The Mean Square Discrepancy of Scrambled (t,s)-Sequences
• Tractability of multivariate integration for periodic functions
• Tractability of multivariate integration for weighted Korobov classes
• When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?

Cited in

(5)

• Some current issues in quasi-Monte Carlo methods
• Optimal quadrature for Haar wavelet spaces
• Strong tractability of integration using scrambled Niederreiter points
• Scrambled polynomial lattice rules for infinite-dimensional integration
• Expected integration approximation under general equal measure partition

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