High-dimensional integration: The quasi-Monte Carlo way

DOI10.1017/S0962492913000044zbMath1296.65004MaRDI QIDQ5419636

Ian H. Sloan, Frances Y. Kuo, Josef Dick

Publication date: 11 June 2014

Published in: Acta Numerica (Search for Journal in Brave)

zbMATH Keywords

lattice; weighted function spaces; discrepancy; digital nets; high-dimensional integration; reproducing Hilbert spaces; quasi-Monte Carlo (QMC)

Mathematics Subject Classification ID

65C05: Monte Carlo methods

46E22: Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces)

11K38: Irregularities of distribution, discrepancy

11K45: Pseudo-random numbers; Monte Carlo methods

Uses Software

• TOMS659
• Algorithm 647