Monte Carlo method for numerical integration based on Sobol's sequences

DOI10.1007/978-3-642-18466-6_5zbMATH Open1317.65007OpenAlexW1510139796MaRDI QIDQ3075263FDOQ3075263

Authors Rayna Georgieva, I. Dimov

Publication date 11 February 2011

Published in Numerical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-18466-6_5

zbMATH Keywords

Monte Carlo methodmultidimensional integrationSobol's sequences

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Numerical integration (65D30)

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Cites work

• scientific article; zbMATH DE number 4066203 (Why is no real title available?)
• scientific article; zbMATH DE number 3454731 (Why is no real title available?)
• A Randomized Quasi-Monte Carlo Simulation Method for Markov Chains
• Algorithm 659
• Constructing Sobol Sequences with Better Two-Dimensional Projections
• Low-discrepancy and low-dispersion sequences
• Monte Carlo Methods for Applied Scientists
• On the Systematic Search in a Hypercube
• SIMD-oriented fast Mersenne twister: a 128-bit pseudorandom number generator

Cited in

(9)

• A new unbiased stochastic algorithm for solving linear Fredholm equations of the second kind
• Sensitivity analysis of an air pollution model with using innovative Monte Carlo methods in calculating multidimensional integrals
• Open type quasi-Monte Carlo integration based on Halton sequences in weighted Sobolev spaces
• A study of highly efficient stochastic sequences for multidimensional sensitivity analysis
• Advanced lattice rules for multidimensional sensitivity analysis in air pollution modelling
• Monte Carlo Simulation of Numerical Integration
• Optimized stochastic approaches based on Sobol quasirandom sequences for Fredholm integral equations of the second kind
• Quasi-random integration in high dimensions
• Sensitivity Studies of an Air Pollution Model by Using Efficient Stochastic Algorithms for Multidimensional Numerical Integration

Describes a project that uses

Uses Software

• SFMT
• sobol.cc

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