Latin supercube sampling for very high-dimensional simulations
From MaRDI portal
Publication:4228545
Recommendations
- Large Sample Properties of Simulations Using Latin Hypercube Sampling
- Extended Latin hypercube sampling for integration and simulation
- Latin hypercube sampling with multidimensional uniformity
- Latin hypercube sampling with dependence and applications in finance
- scientific article; zbMATH DE number 1728257
Cited in
(49)- Quasi-Monte Carlo estimation in generalized linear mixed models
- Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options
- My dream quadrature rule
- The effective dimension and quasi-Monte Carlo integration
- Random sampling from low-discrepancy sequences: applications to option pricing
- Pricing and hedging Asian basket options with quasi-Monte Carlo simulations
- A comparison of two sampling methods for global sensitivity analysis
- On the distribution of integration error by randomly-shifted lattice rules
- Variance reduction with array-RQMC for tau-leaping simulation of stochastic biological and chemical reaction networks
- A note on concatenation of quasi-Monte Carlo and plain Monte Carlo rules in high dimensions
- Sensitivity analysis methods in the biomedical sciences
- Variance reduction for sequential sampling in stochastic programming
- Approximating concept stability using variance reduction techniques
- Least squares polynomial chaos expansion: a review of sampling strategies
- Dimension reduction for pricing options under multidimensional Lévy processes
- An improved averaged two-replication procedure with Latin hypercube sampling
- Numerical inverse Lévy measure method for infinite shot noise series representation
- Exact sampling with highly uniform point sets
- Control variates for quasi-Monte Carlo (with comments and rejoinder)
- Computation of optimal portfolios using simulation-based dimension reduction
- Symmetrical design of experiment in global sensitivity analysis based on ANOVA high-dimensional model representation
- Extended Latin hypercube sampling for integration and simulation
- Adaptive integration and approximation over hyper-rectangular regions with applications to basket option pricing
- Orthogonal arrays for the estimation of global sensitivity indices based on ANOVA high-dimensional model representation
- A pseudo-marginal sequential Monte Carlo algorithm for random effects models in Bayesian sequential design
- Design of experiment in global sensitivity analysis based on ANOVA high-dimensional model representation
- Comparison of Point Sets and Sequences for Quasi-Monte Carlo and for Random Number Generation
- Multidimensional quasi-Monte Carlo Malliavin Greeks
- Orthogonal arrays for estimating global sensitivity indices of non-parametric models based on ANOVA high-dimensional model representation
- Effective dimension of some weighted pre-Sobolev spaces with dominating mixed partial derivatives
- Cubature formulas for multisymmetric functions and applications to stochastic partial differential equations
- Sensitivity analysis approaches to high-dimensional screening problems at low sample size
- Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall
- On figures of merit for randomly-shifted lattice rules
- Follow-up experimental designs for computer models and physical processes
- Implementing quasi-Monte Carlo simulations with linear transformations
- AN ADAPTIVE METHOD FOR EVALUATING MULTIDIMENSIONAL CONTINGENT CLAIMS: PART I
- AN ADAPTIVE METHOD FOR EVALUATING MULTIDIMENSIONAL CONTINGENT CLAIMS: PART II
- Density estimation by randomized quasi-Monte Carlo
- On selection criteria for lattice rules and other quasi-Monte Carlo point sets
- A Tool for Custom Construction of QMC and RQMC Point Sets
- Coupling from the past with randomized quasi-Monte Carlo
- Comparison of Monte Carlo simulations of cytochrome b\(_6\)f with experiment using Latin hypercube sampling
- Fast random integer generation in an interval
- Adaptive exact recovery in sparse nonparametric models
- Dimension reduction for quasi-Monte Carlo methods via quadratic regression
- Randomized quasi-Monte Carlo methods in pricing securities
- An approximate likelihood approach to nonlinear mixed effects models via spline approximation
- Quasi-Monte Carlo methods with applications in finance
This page was built for publication: Latin supercube sampling for very high-dimensional simulations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4228545)
