Introduction to Quasi-Monte Carlo Integration and Applications

DOI10.1007/978-3-319-03425-6zbMATH Open1309.65006OpenAlexW648263199MaRDI QIDQ5414722FDOQ5414722

Friedrich Pillichshammer, Gunther Leobacher

Publication date: 7 May 2014

Published in: Compact Textbooks in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-03425-6

zbMATH Keywords

quasi-Monte Carlo methodsstochastic differential equationfinancial mathematicstextbookMonte Carlo integrationmultidimensional numerical integrationcomponent-by-component algorithmKoksma-Hlawka inequalityKorobov spaceHalton point setoptions valuatingpseudo-random numbers generation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Numerical methods (including Monte Carlo methods) (91G60) Irregularities of distribution, discrepancy (11K38) Numerical solutions to stochastic differential and integral equations (65C30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to numerical analysis (65-01)

Cited In (72)

• Ian Sloan and Lattice Rules
• Existence of Solutions for Deterministic Bilevel Games under a General Bayesian Approach
• A hybrid semi-Lagrangian DG and ADER-DG solver on a moving mesh for Liouville's equation of geometrical optics
• On approximating the shape of one-dimensional posterior marginals using the low discrepancy points
• Projection-based techniques for high-dimensional optimal transport problems
• Sampling constrained continuous probability distributions: a review
• Analyticity of parametric elliptic eigenvalue problems and applications to quasi-Monte Carlo methods
• An energy-preserving high order method for Liouville's equation of geometrical optics
• Exploiting the polyhedral geometry of stochastic linear bilevel programming
• A novel sampling method for adaptive gradient-enhanced kriging
• Discrepancy of Digital Sequences: New Results on a Classical QMC Topic
• Stability of lattice rules and polynomial lattice rules constructed by the component-by-component algorithm
• An energy conservative \(hp\)-method for Liouville's equation of geometrical optics
• The Inverse of the Star-Discrepancy Problem and the Generation of Pseudo-Random Numbers
• Numerical and exact analyses of Bures and Hilbert-Schmidt separability and PPT probabilities
• A novel method of marginalisation using low discrepancy sequences for integrated nested Laplace approximations
• A note on Korobov lattice rules for integration of analytic functions
• Improving Approximate Bayesian Computation via Quasi-Monte Carlo
• \(L_{2}\) discrepancy of symmetrized generalized hammersley point sets in base \(b\)
• Some Results on the Complexity of Numerical Integration
• DISCREPANCY OF SECOND ORDER DIGITAL SEQUENCES IN FUNCTION SPACES WITH DOMINATING MIXED SMOOTHNESS
• From van der Corput to modern constructions of sequences for quasi-Monte Carlo rules
• Flow-driven spectral chaos (FSC) method for simulating long-time dynamics of arbitrary-order non-linear stochastic dynamical systems
• An exact formula for the \(L_2\) discrepancy of the symmetrized Hammersley point set
• Construction-Free Median Quasi-Monte Carlo Rules for Function Spaces with Unspecified Smoothness and General Weights
• \(L_p\)- and \(S_{p, q}^r B\)-discrepancy of the symmetrized van der Corput sequence and modified Hammersley point sets in arbitrary bases
• Discrepancy bounds for a class of negatively dependent random points including Latin hypercube samples
• A note on \((s,t)\)-weak tractability of the weighted star discrepancy of regular grids
• On quasi-Monte Carlo methods in weighted ANOVA spaces
• Lattice algorithms for multivariate approximation in periodic spaces with general weight parameters
• Very low truncation dimension for high dimensional integration under modest error demand
• Monte Carlo integration, quadratic resampling, and asset pricing
• Mixed orthogonal arrays, \((u,m,\mathbf{e},s)\)-nets, and \((u,\mathbf{e},s)\)-sequences
• Fast component-by-component construction of lattice algorithms for multivariate approximation with POD and SPOD weights
• Open type quasi-Monte Carlo integration based on Halton sequences in weighted Sobolev spaces
• Weighted integration over a hyperrectangle based on digital nets and sequences
• The generalized and modified Halton sequences in Cantor bases
• The Halton sequence and its discrepancy in the Cantor expansion
• An ADER discontinuous Galerkin method on moving meshes for Liouville's equation of geometrical optics
• Secure pseudorandom bit generators and point sets with low star-discrepancy
• Sparse harmonic transforms: a new class of sublinear-time algorithms for learning functions of many variables
• Title not available (Why is that?)
• Tractability of \(L_2\)-approximation and integration in weighted Hermite spaces of finite smoothness
• A note on concatenation of quasi-Monte Carlo and plain Monte Carlo rules in high dimensions
• Point sets with optimal order of extreme and periodic discrepancy
• Flow-driven spectral chaos (FSC) method for long-time integration of second-order stochastic dynamical systems
• \(L_p\)-discrepancy of the symmetrized van der Corput sequence
• Uncertainty quantification analysis for simulation of wakes in wind-farms using a stochastic RANS solver, compared with a deep learning approach
• Statistical independence in mathematics -- the key to a Gaussian law
• Tractability of \(\mathbb{L}_2\)-approximation in hybrid function spaces
• On a Kantorovich-Rubinstein inequality
• A parallel Monte Carlo method for solving electromagnetic scattering in clusters of dielectric objects
• The weighted star discrepancy of Korobov’s $p$-sets
• Title not available (Why is that?)
• A Measure-Theoretic Interpretation of Sample Based Numerical Integration with Applications to Inverse and Prediction Problems under Uncertainty
• Numerical integration in log-Korobov and log-cosine spaces
• A survey of some applications of finite fields
• On combined component-by-component constructions of lattice point sets
• Component-by-component construction of randomized rank-1 lattice rules achieving almost the optimal randomized error rate
• Proof techniques in quasi-Monte Carlo theory
• Optimal \(L_{p}\)-discrepancy bounds for second order digital sequences
• A deep double Ritz method (\(\mathrm{D^2RM}\)) for solving partial differential equations using neural networks
• Projection pursuit based tests of normality with functional data
• Digital nets in dimension two with the optimal order of \(L_p\) discrepancy
• Integral Equations, Quasi-Monte Carlo Methods and Risk Modeling
• Digital inversive vectors can achieve polynomial tractability for the weighted star discrepancy and for multivariate integration
• Extensions of generalized two-qubit separability probability analyses to higher dimensions, additional measures and new methodologies
• Tractability properties of the weighted star discrepancy of the Halton sequence
• Tractability properties of the weighted star discrepancy of regular grids
• Digit-by-digit and component-by-component constructions of lattice rules for periodic functions with unknown smoothness
• On the expected \(\mathcal{L}_2\)-discrepancy of jittered sampling
• Constructing lattice points for numerical integration by a reduced fast successive coordinate search algorithm

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