Multidimensional numerical integration using pseudorandom numbers

DOI10.1007/BFB0121112MaRDI QIDQ3756401zbMATH OpenOpenAlexFDO

Authors Harald Niederreiter

Publication date 1986

Published in Mathematical Programming Studies (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bfb0121112

zbMATH Keywords

numerical integrationMonte Carlo methodlinear congruential pseudorandom numbersquasirandom pointsTausworthe pseudorandom numbers

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Numerical quadrature and cubature formulas (65D32) Multidimensional problems (41A63) Approximate quadratures (41A55)

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(13)

• Realistic analysis of some randomized algorithms
• Good Parameters for a Class of Node Sets in Quasi-Monte Carlo Integration
• Numerical integration using sequences generating permutations
• High-discrepancy sequences for high-dimensional numerical integration
• Consistency of Markov chain quasi-Monte Carlo on continuous state spaces
• Parallel processors for planning under uncertainty
• A quasi-Monte Carlo Metropolis algorithm
• Newton's method for quadratic stochastic programs with recourse
• scientific article; zbMATH DE number 5509066 (Why is no real title available?)
• Van der Corput sequences, Kakutani transforms and one-dimensional numerical integration
• Randomized Smolyak algorithms based on digital sequences for multivariate integration
• Low-discrepancy point sets
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