A computable figure of merit for quasi-Monte Carlo point sets

DOI10.1090/S0025-5718-2013-02774-3zbMath1330.11051arXiv1109.3873MaRDI QIDQ5401700

Makoto Matsumoto, Kyle Matoba, Mutsuo Saito

Publication date: 12 March 2014

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

Full work available at URL: https://arxiv.org/abs/1109.3873

zbMATH Keywords

numerical integrationWalsh functionslow discrepancy sequencesdigital netsquasi-Monte Carlocomputational financefigure of meritWAFOM

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods for discrete and fast Fourier transforms (65T50) Numerical integration (65D30) Irregularities of distribution, discrepancy (11K38) Pseudo-random numbers; Monte Carlo methods (11K45)

Related Items (10)

Quasi-Monte Carlo point sets with small \(t\)-values and WAFOM ⋮ A search for extensible low-WAFOM point sets ⋮ Existence of Higher Order Convergent Quasi-Monte Carlo Rules via Walsh Figure of Merit ⋮ Construction of interlaced polynomial lattice rules for infinitely differentiable functions ⋮ Approximation of quasi-Monte Carlo worst case error in weighted spaces of infinitely times smooth functions ⋮ Walsh Figure of Merit for Digital Nets: An Easy Measure for Higher Order Convergent QMC ⋮ The Mean Square Quasi-Monte Carlo Error for Digitally Shifted Digital Nets ⋮ A Universal Median Quasi-Monte Carlo Integration ⋮ An explicit construction of point sets with large minimum Dick weight ⋮ Super-polynomial convergence and tractability of multivariate integration for infinitely times differentiable functions

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