Error trends in quasi-Monte Carlo integration

DOI10.1016/J.CPC.2004.02.004MaRDI QIDQ709518zbMATH OpenOpenAlexFDO

Authors Christoph Schlier

Publication date 18 October 2010

Published in Computer Physics Communications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.cpc.2004.02.004

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

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Cites work

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• Algorithm 823
• An improved low-discrepancy sequence for multidimensional quasi-Monte Carlo integration
• Computational investigations of low-discrepancy sequences
• Discrepancy behaviour in the non-asymptotic regime
• Fast convergence of quasi-Monte Carlo for a class of isotropic integrals
• Low-discrepancy and low-dispersion sequences
• Monte Carlo Variance of Scrambled Net Quadrature
• Monte Carlo integration with quasi-random numbers: Experience with discontinuous integrands
• Monte Carlo integration with quasi-random numbers: Some experience
• On the distribution of points in a cube and the approximate evaluation of integrals
• On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
• Programs to generate Niederreiter's low-discrepancy sequences
• Quasi-Monte Carlo Methods for Numerical Integration: Comparison of Different Low Discrepancy Sequences
• Quasi-Monte Carlo integration
• Randomization of Number Theoretic Methods for Multiple Integration
• Randomized Halton sequences
• Scrambling Sobol' and Niederreiter-Xing points
• Sufficient conditions for fast quasi-Monte Carlo convergence
• The effective dimension and quasi-Monte Carlo integration

Cited in

(8)

• Error in Monte Carlo, quasi-error in quasi-Monte Carlo
• Degradation-based maintenance decision using stochastic filtering for systems under imperfect maintenance
• scientific article; zbMATH DE number 1103082 (Why is no real title available?)
• Empirically estimating error of integration by quasi-Monte Carlo method
• Effective discrepancy and numerical experiments
• Quasi-random integration in high dimensions
• On scrambled Halton sequences
• Decrease of the mean of the quasi-random integration error

Describes a project that uses

Uses Software

• Algorithm 247
• rhalton
• TESTPACK
• Algorithm 823

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