Quasi-Monte Carlo Methods for Numerical Integration: Comparison of Different Low Discrepancy Sequences

DOI10.1515/MCMA.1996.2.1.1zbMATH Open0851.65015OpenAlexW2082673699MaRDI QIDQ4880907FDOQ4880907

Authors: Igor Radović, Robert F. Tichy, Il'ya Sobol' 

Publication date: 23 June 1996

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.1996.2.1.1

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zbMATH Keywords

numerical integrationnumerical experimentsMonte Carlo methodquasi-Monte Carlo methoduniformly distributed sequencesSobol sequenceslow discrepancy sequencesFaure sequencesHalton sequencesNiederreiter sequences

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32)

Cited In (29)

• Propagation of uncertainties in density-driven flow
• Title not available (Why is that?)
• Randomized Halton sequences
• Monte Carlo method for numerical integration based on Sobol's sequences
• A computational investigation of the optimal Halton sequence in QMC applications
• A new reliability method combining kriging and probability density evolution method
• A Fast Stratified Sampling Simulation of Coagulation Processes
• Techniques for parallel quasi-Monte Carlo integration with digital sequences and associated problems
• Defects in parallel Monte Carlo and quasi-Monte Carlo integration using the leap-frog technique
• Algorithm 659
• Non-uniform low-discrepancy sequence generation and integration of singular integrands
• Quasi-random points keep their distance
• A fully adaptive method for structural stochastic response analysis based on direct probability integral method
• Error trends in quasi-Monte Carlo integration
• Generalized F-discrepancy-based point selection strategy for dependent random variables in uncertainty quantification of nonlinear structures
• Quasi-random integration in high dimensions
• Quantification of Airfoil Geometry-Induced Aerodynamic Uncertainties---Comparison of Approaches
• On the corner avoidance properties of various low-discrepancy sequences
• Projections of digital nets and sequences
• Quasi-Random Sampling for Multivariate Distributions via Generative Neural Networks
• Global sensitivity analysis based on high-dimensional sparse surrogate construction
• Hierarchical surrogate model with dimensionality reduction technique for high-dimensional uncertainty propagation
• Generalized von Neumann-Kakutani transformation and random-start scrambled Halton sequences
• The effective dimension and quasi-Monte Carlo integration
• Simulation methods in ruin models with nonlinear dividend barriers.
• Application of high-credible statistical results calculation scheme based on least squares quasi-Monte Carlo method in multimodal stochastic problems
• On the 80th birthday of Il’ya Meierovich Sobol
• Numerical integration of singular integrands using low-discrepancy sequences
• Solution of the 3D density-driven groundwater flow problem with uncertain porosity and permeability

Uses Software

• TOMS659
• Algorithm 647

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