On the necessity of low-effective dimension

DOI10.1016/j.jco.2005.05.004zbMath1089.65006MaRDI QIDQ2576277

Shu Tezuka

Publication date: 27 December 2005

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

Full work available at URL: https://doi.org/10.1016/j.jco.2005.05.004

zbMATH Keywords

decomposition method; Walsh functions; Monte Carlo method; ANOVA; quasi-Monte Carlo method; analysis of variance; effective dimension; high-dimensional integrals; generalized Sobol' sequences; global sensibility

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

62J10: Analysis of variance and covariance (ANOVA)

11K45: Pseudo-random numbers; Monte Carlo methods

Related Items

How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?, Exact cubature for a class of functions of maximum effective dimension

Cites Work

• Sequences, discrepancies and applications
• When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
• The price of pessimism for multidimensional quadrature
• Sufficient conditions for fast quasi-Monte Carlo convergence
• Average case complexity of multivariate integration
• Monte Carlo Variance of Scrambled Net Quadrature
• On the distribution of points in a cube and the approximate evaluation of integrals
• Geometric discrepancy. An illustrated guide
• Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item