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

DOI10.1090/S0025-5718-03-01569-2MaRDI QIDQ4452163zbMATH OpenFDO

Authors Peter Mathé, Gang Wei

Publication date 12 February 2004

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

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)

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Cites work

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

Cited in

(21)

• Quasi-Monte Carlo methods for Choquet integrals
• A Monte Carlo algorithm for weighted integration over $\mathbb {R}^d$
• Good Parameters for a Class of Node Sets in Quasi-Monte Carlo Integration
• Strong tractability of multivariate integration using quasi–Monte Carlo algorithms
• An adaptive approach to cube-based quasi-Monte Carlo integration on \(\mathbb R^d\)
• Weighted integration over a hyperrectangle based on digital nets and sequences
• An algorithm for QMC integration using low-discrepancy lattice sets
• Tractability of Monte Carlo integration in Hermite spaces
• Quasi Monte Carlo Integration and Kernel-Based Function Approximation on Grassmannians
• Monte Carlo integration, quadratic resampling, and asset pricing
• Quasi-Monte Carlo algorithms for unbounded, weighted integration problems
• Quasi–Monte Carlo Numerical Integration on $\mathbb{R}^s$: Digital Nets and Worst-Case Error
• Tchakaloff-like compression of QMC volume and surface integration on the union of balls
• scientific article; zbMATH DE number 524182 (Why is no real title available?)
• Analysis of Preintegration Followed by Quasi–Monte Carlo Integration for Distribution Functions and Densities
• Preintegration via Active Subspace
• scientific article; zbMATH DE number 1923154 (Why is no real title available?)
• Moving boundary analysis in heat conduction with multilayer composites by finite block method
• On efficient weighted integration via a change of variables
• scientific article; zbMATH DE number 1790428 (Why is no real title available?)
• Integral equations, quasi-Monte Carlo methods and risk modeling

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