Quasi-Monte Carlo: a high-dimensional experiment

DOI10.1515/MCMA-2013-0022MaRDI QIDQ742075zbMATH OpenOpenAlexFDO

Authors B. V. Shukhman, Il'ya Sobol'

Publication date 17 September 2014

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/mcma-2013-0022

zbMATH Keywords

average dimensionhigh-dimensional integrationmean dimensionquasi-Monte CarloSobol sequences

Mathematics Subject Classification ID

Pseudo-random numbers; Monte Carlo methods (11K45) Monte Carlo methods (65C05) Numerical integration (65D30) Complexity and performance of numerical algorithms (65Y20)

Review text

The authors present a new numerical evidence that certain very high-dimensional integrals can be efficiently approximated by quasi-Monte Carlo-methods (dimension \(>1000\)). If the average dimension in the sense of Owen is sufficiently small, the convergence rate is close to \(1/N\) (for \(N\) integration points).

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