Quasi–Monte Carlo integration over \mathbb {R}^d

DOI10.1090/S0025-5718-03-01569-2zbMATH Open1040.65002MaRDI QIDQ4452163FDOQ4452163

Gang Wei, Peter Mathé

Publication date: 12 February 2004

Published in: Mathematics of Computation (Search for Journal in Brave)

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zbMATH Keywords

error boundsalgorithmquasi-Monte Carlo integrationlow-discrepancy point setscompact sets of weights

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Analysis of algorithms and problem complexity (68Q25) Irregularities of distribution, discrepancy (11K38)

Cites Work

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• Weakly Differentiable Functions
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• Applications of Number Theory to Numerical Analysis
• Fast convergence of quasi-Monte Carlo for a class of isotropic integrals
• Coherent risk measures and good-deal bounds
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• On quasi-Monte Carlo simulation of stochastic differential equations

Cited In (15)

• Strong tractability of multivariate integration using quasi–Monte Carlo algorithms
• Quasi Monte Carlo Integration and Kernel-Based Function Approximation on Grassmannians
• Title not available (Why is that?)
• Moving boundary analysis in heat conduction with multilayer composites by finite block method
• Good Parameters for a Class of Node Sets in Quasi-Monte Carlo Integration
• An adaptive approach to cube-based quasi-Monte Carlo integration on \(\mathbb R^d\)
• Quasi–Monte Carlo Numerical Integration on $\mathbb{R}^s$: Digital Nets and Worst-Case Error
• Monte Carlo integration, quadratic resampling, and asset pricing
• Analysis of Preintegration Followed by Quasi–Monte Carlo Integration for Distribution Functions and Densities
• Preintegration via Active Subspace
• Title not available (Why is that?)
• A Monte Carlo algorithm for weighted integration over $\mathbb {R}^d$
• Title not available (Why is that?)
• Quasi-Monte Carlo algorithms for unbounded, weighted integration problems
• Tractability of Monte Carlo integration in Hermite spaces

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