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

DOI10.1515/MCMA.1996.2.1.1MaRDI QIDQ4880907zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Generation of non-uniform low-discrepancy sequences in quasi-Monte Carlo integration
• scientific article; zbMATH DE number 4082826
• scientific article; zbMATH DE number 1786482
• Parallel quasi-Monte Carlo integration by partitioning low discrepancy sequences
• scientific article; zbMATH DE number 1103085
• scientific article; zbMATH DE number 2000358
• Monte Carlo integration with quasi-random numbers: Experience with discontinuous integrands
• Publication:4934387
• Quasi-Monte Carlo methods for numerical integration of multivariate Haar series

Cited in

(29)

• Solution of the 3D density-driven groundwater flow problem with uncertain porosity and permeability
• Propagation of uncertainties in density-driven flow
• scientific article; zbMATH DE number 4082826 (Why is no real title available?)
• 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 Fast Stratified Sampling Simulation of Coagulation Processes
• A new reliability method combining kriging and probability density evolution method
• 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
• Quasi-random integration in high dimensions
• Generalized F-discrepancy-based point selection strategy for dependent random variables in uncertainty quantification of nonlinear structures
• 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
• Generalized von Neumann-Kakutani transformation and random-start scrambled Halton sequences
• Hierarchical surrogate model with dimensionality reduction technique for high-dimensional uncertainty propagation
• The effective dimension and quasi-Monte Carlo integration
• Simulation methods in ruin models with nonlinear dividend barriers.
• Numerical integration of singular integrands using low-discrepancy sequences
• 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

Describes a project that uses

Uses Software

• Algorithm 647
• TOMS659

This page was built for publication: Quasi-Monte Carlo Methods for Numerical Integration: Comparison of Different Low Discrepancy Sequences

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4880907)