On the necessity of low-effective dimension
From MaRDI portal
Publication:2576277
DOI10.1016/j.jco.2005.05.004zbMath1089.65006MaRDI QIDQ2576277
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
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
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
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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
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- 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
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