Latin supercube sampling for very high-dimensional simulations

DOI10.1145/272991.273010zbMATH Open0917.65022OpenAlexW2030999551MaRDI QIDQ4228545FDOQ4228545

Authors: Art B. Owen 

Publication date: 1 March 1999

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/272991.273010

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• scientific article; zbMATH DE number 1728257

zbMATH Keywords

quasi-Monte CarlointegrationLatin hypercubelattice methods\((t,m,s)\)-netshigh-dimensional quadraturelow discrepancy sequencesorthogonal array samplinghigh-dimensional simulationsLatin supercube sampling

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32) Irregularities of distribution, discrepancy (11K38) Pseudo-random numbers; Monte Carlo methods (11K45)

Cited In (47)

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

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