Multidimensional numerical integration using pseudorandom numbers

DOI10.1007/BFB0121112zbMATH Open0619.65012OpenAlexW133028396MaRDI QIDQ3756401FDOQ3756401

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)

Cited In (11)

• Newton's method for quadratic stochastic programs with recourse
• Consistency of Markov chain quasi-Monte Carlo on continuous state spaces
• Good Parameters for a Class of Node Sets in Quasi-Monte Carlo Integration
• Randomized Smolyak algorithms based on digital sequences for multivariate integration
• Parallel processors for planning under uncertainty
• Point sets and sequences with small discrepancy
• A quasi-Monte Carlo Metropolis algorithm
• Title not available (Why is that?)
• Van der Corput sequences, Kakutani transforms and one-dimensional numerical integration
• Low-discrepancy point sets
• Realistic analysis of some randomized algorithms

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