scientific article; zbMATH DE number 822320

zbMATH Open0831.65024MaRDI QIDQ4856469FDOQ4856469

Authors: Art B. Owen 

Publication date: 18 February 1996

Title of this publication is not available (Why is that?)

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zbMATH Keywords

Latin hypercube samplingquasi-Monte Carlo methodshybrid methodquadrature errors\((t, m, s)\)-nets\((t, s)\)-sequences

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 (only showing first 100 items - show all)

• Optimal randomized changing dimension algorithms for infinite-dimensional integration on function spaces with ANOVA-type decomposition
• On the optimal Halton sequence
• Walsh figure of merit for digital nets: an easy measure for higher order convergent QMC
• A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance
• On the variance of quadrature over scrambled nets and sequences
• Pricing American-style securities using simulation
• Construction of scrambled polynomial lattice rules over \(\mathbb{F}_{2}\) with small mean square weighted \(\mathcal{L}_{2}\) discrepancy
• A construction of polynomial lattice rules with small gain coefficients
• Constructions of \((t,m,s)\)-nets and \((t,s)\)-sequences
• A randomized orthogonal array-based procedure for the estimation of first- and second-order Sobol' indices
• Consistency of Markov chain quasi-Monte Carlo on continuous state spaces
• Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions
• Random sampling from low-discrepancy sequences: applications to option pricing
• On Monte Carlo and quasi-Monte Carlo methods for series representation of infinitely divisible laws
• Parameterization based on randomized quasi-Monte Carlo methods
• Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction
• Local antithetic sampling with scrambled nets
• Monte Carlo methods for security pricing
• Discrepancy behaviour in the non-asymptotic regime
• On the efficient numerical solution of lattice systems with low-order couplings
• Some current issues in quasi-Monte Carlo methods
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• A comparison of random and quasirandom points for nonparametric response surface design
• A characterization of strong orthogonal arrays of strength three
• On integration methods based on scrambled nets of arbitrary size
• Quasi-Monte Carlo methods for lattice systems: a first look
• Wrap-around \(L_2\)-discrepancy of random sampling Latin hypercube and uniform designs
• Optimal quadrature for Haar wavelet spaces
• On the error rate of conditional quasi-Monte Carlo for discontinuous functions
• An irregular grid approach for pricing high-dimensional American options
• An auto-realignment method in quasi-Monte Carlo for pricing financial derivatives with jump structures
• Multivariate integration in weighted Hilbert spaces based on Walsh functions and weighted Sobolev spaces
• Error trends in quasi-Monte Carlo integration
• Centered \(L_2\)-discrepancy of random sampling and Latin hypercube design, and construction of uniform designs
• Computational investigations of scrambled Faure sequences
• Minimax and Minimax Projection Designs Using Clustering
• Numerical maximum log likelihood estimation for generalized lambda distributions
• Scrambling non-uniform nets
• Improving simulated annealing through derandomization
• On the asymptotic distribution of scrambled net quadrature.
• A Strong Law of Large Numbers for Scrambled Net Integration
• Control variates for quasi-Monte Carlo (with comments and rejoinder)
• Low discrepancy sequences in high dimensions: how well are their projections distributed?
• Randomized quasi-Monte Carlo methods in pricing securities
• The asymptotic efficiency of randomized nets for quadrature
• Quasi-Monte Carlo for discontinuous integrands with singularities along the boundary of the unit cube
• Density estimation by randomized quasi-Monte Carlo
• Strong tractability of integration using scrambled Niederreiter points
• Higher order scrambled digital nets achieve the optimal rate of the root mean square error for smooth integrands
• Low discrepancy constructions in the triangle
• Discrepancy theory and quasi-Monte Carlo integration
• Explicit error bounds for randomized Smolyak algorithms and an application to infinite-dimensional integration
• Variations on \((0,s)\)-sequences
• Applications of randomized low discrepancy sequences to the valuation of complex securities
• Efficient Monte Carlo simulation for integral functionals of Brownian motion
• Integration and approximation based on scramble sampling in arbitrary dimensions
• Alternative sampling methods for estimating multivariate normal probabilities
• My dream quadrature rule
• Scrambled geometric net integration over general product spaces
• The effective dimension and quasi-Monte Carlo integration
• Scrambling Sobol' and Niederreiter-Xing points
• The discrepancy and gain coefficients of scrambled digital nets.
• Scrambled net variance for integrals of smooth functions
• Quasi-Monte Carlo methods with applications in finance
• The price of pessimism for multidimensional quadrature
• Accurate emulators for large-scale computer experiments
• Quasi-Monte Carlo methods for linear two-stage stochastic programming problems
• Orthogonal hypercubes and related designs
• Construction of interlaced scrambled polynomial lattice rules of arbitrary high order
• Quasi-Monte Carlo point sets with small \(t\)-values and WAFOM
• Numerical inverse Lévy measure method for infinite shot noise series representation
• The two-dimensional small ball inequality and binary nets
• Quasi-random numbers for copula models
• Multivariate error modeling and uncertainty quantification using importance (re-)weighting for Monte Carlo simulations in particle transport
• Super-polynomial accuracy of multidimensional randomized nets using the median-of-means
• Asymptotic normality of extensible grid sampling
• Walsh functions, scrambled \(( 0 , m , s )\)-nets, and negative covariance: applying symbolic computation to quasi-Monte Carlo integration
• Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance
• On the Error Rate of Importance Sampling with Randomized Quasi-Monte Carlo
• On the convergence rate of randomized quasi-Monte Carlo for discontinuous functions
• Space-filling orthogonal arrays of strength two
• Deep learning based on randomized quasi-Monte Carlo method for solving linear Kolmogorov partial differential equation
• Asymptotic properties of the spectral test, diaphony, and related quantities
• Convergence results for a class of time-varying simulated annealing algorithms
• On the Distribution of Scrambled $$(0,m,s)-$$Nets Over Unanchored Boxes
• A spectral approach for the design of experiments: design, analysis and algorithms
• Metamodeling of aircraft infrared signature dispersion
• Quasi-Monte Carlo methods for two-stage stochastic mixed-integer programs
• Fast construction of higher order digital nets for numerical integration in weighted Sobolev spaces
• Discrepancy bounds for a class of negatively dependent random points including Latin hypercube samples
• On negative dependence properties of Latin hypercube samples and scrambled nets
• Deterministic Consistent Density Estimation for Light Transport Simulation
• Mean Dimension of Ridge Functions
• Are quasi-Monte Carlo algorithms efficient for two-stage stochastic programs?
• On the dependence structure and quality of scrambled \((t,m,s)\)-nets
• Preintegration via Active Subspace
• Unbiased MLMC-based variational Bayes for likelihood-free inference
• The distribution of the discrepancy of scrambled digital (\(t\),\(m\),\(s\))-nets
• Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall
• Title not available (Why is that?)

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