Derivative based quasi-Monte Carlo constructions and sensitivity estimations

MaRDI QIDQ2829204zbMATH OpenFDO

Authors Hernan Leovey

Publication date 27 October 2016

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Numerical integration (65D30) Numerical differentiation (65D25)

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(3)

• Embeddings for infinite-dimensional integration and \(L_2\)-approximation with increasing smoothness
• Exploitation of sensitivity derivatives via randomized quasi-Monte Carlo methods
• Quasi-Monte Carlo methods for linear two-stage stochastic programming problems

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