Quasi-Monte Carlo for an Integrand with a Singularity Along a Diagonal in the Square

DOI10.1007/978-3-319-72456-0_6zbMath1405.65006arXiv1609.07444OpenAlexW2527484249MaRDI QIDQ4611796

Kinjal Basu, Art B. Owen

Publication date: 22 January 2019

Published in: Contemporary Computational Mathematics - A Celebration of the 80th Birthday of Ian Sloan (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.07444

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30)

Related Items (3)

On the Error Rate of Importance Sampling with Randomized Quasi-Monte Carlo ⋮ Quasi-Monte Carlo for discontinuous integrands with singularities along the boundary of the unit cube ⋮ A Strong Law of Large Numbers for Scrambled Net Integration

Cites Work

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• Numerical integration of singular integrands using low-discrepancy sequences
• Quasi-Monte Carlo Methods in Financial Engineering: An Equivalence Principle and Dimension Reduction
• Halton Sequences Avoid the Origin
• Monte Carlo Variance of Scrambled Net Quadrature
• A Koksma–Hlawka Inequality for Simplices
• Low Discrepancy Constructions in the Triangle
• Multidimensional Variation for Quasi-Monte Carlo

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