On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals

From MaRDI portal
Publication:771796

DOI10.1007/BF01386213zbMath0090.34505MaRDI QIDQ771796

John H. Halton

Publication date: 1960

Published in: Numerische Mathematik (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/131448



Related Items

Good permutations for deterministic scrambled Halton sequences in terms of \(L_2\)-discrepancy, Meshless techniques for anisotropic diffusion, Quasi-Monte Carlo integration using digital nets with antithetics, Multilevel interpolation of scattered data using \(\mathcal{H}\)-matrices, Estimating the joint survival probabilities of married individuals, Faster Monte Carlo estimation of joint models for time-to-event and multivariate longitudinal data, Masking identification of discrete choice models under simulation methods, Extension of van der Corput algorithm to LS-sequences, On variants of the Halton sequence, A stochastic correlation model with mean reversion for pricing multi-asset options, A goal-oriented field measurement filtering technique for the identification of material model parameters, Remarks on randomization of quasi-random numbers, An algorithm to compute bounds for the star discrepancy, A fast computational method for moment-independent uncertainty importance measure, Consistent inference in fixed-effects stochastic frontier models, On the diaphony of the van der Corput-Halton sequence, A pseudo-marginal sequential Monte Carlo algorithm for random effects models in Bayesian sequential design, Analysis of the domain mapping method for elliptic diffusion problems on random domains, Monte Carlo integration with quasi-random numbers: Some experience, Balanced two-colorings of finite sets in the cube, BMO and exponential Orlicz space estimates of the discrepancy function in arbitrary dimension, Bootstrap variance estimation for complex survey data: a quasi Monte Carlo approach, Discrepancy behaviour in the non-asymptotic regime, Numerical integration of singular integrands using low-discrepancy sequences, Fast Gaussian random number generation using linear transformations, On initial populations of a genetic algorithm for continuous optimization problems, Monte Carlo methods for security pricing, Uncertainty propagation of p-boxes using sparse polynomial chaos expansions, An alternative procedure for selecting a good value for the parameter \(c\) in RBF-interpolation, A modification of balanced acceptance sampling, On regularities of the distribution of special sequences, On the convergence of quasi-random sampling/importance resampling, Numerical experiments on the condition number of the interpolation matrices for radial basis functions, Numerical solution of the homogeneous Neumann boundary value problem on domains with a thin layer of random thickness, Equal angle distribution of polling directions in direct-search methods, A construction of digital \((0,s)\)-sequences involving finite-row generator matrices, From van der Corput to modern constructions of sequences for quasi-Monte Carlo rules, Some open problems concerning the star-discrepancy, Optimal variable shape parameter for multiquadric based RBF-FD method, A generalization of Kakutani's splitting procedure, Kronecker-Halton sequences in \(\mathbb{F}_p((X^{-1}))\), Numerical quadrature over smooth surfaces with boundaries, Metrical results on the discrepancy of Halton-Kronecker sequences, Generation of space-filling uniform designs in unit hypercubes, On effective computation of expectations in large or infinite dimension, Fast and stable rational RBF-based partition of unity interpolation, Tractability properties of the weighted star discrepancy of the Halton sequence, Balanced two-colorings of finite sets in the square. I, Adaptive-sparse polynomial dimensional decomposition methods for high-dimensional stochastic computing, Which path to choose in sequential Gaussian simulation, Discrepancy estimates for index-transformed uniformly distributed sequences, Optimal constant shape parameter for multiquadric based RBF-FD method, Identification of elastic properties in the belief function framework, Separation of variables for function generated high-order tensors, On a simple quasi-Monte Carlo approach for classical ultimate ruin probabilities, An observer-based tracker for hybrid interval chaotic systems with saturating inputs: the chaos-evolutionary-programming approach, Recent trends in random number and random vector generation, Approximation of high-dimensional rank one tensors, On spherical harmonics based numerical quadrature over the surface of a sphere, Dubins traveling salesman problem with neighborhoods: a graph-based approach, A semi-analytical framework for structural reliability analysis, Practical identifiability and uncertainty quantification of a pulsatile cardiovascular model, A radial basis function partition of unity collocation method for convection-diffusion equations arising in financial applications, Calculation of the discrepancy of a finite set of points in the unit \(n\) -cube, On the lower bound of the discrepancy of Halton's sequence. II, On scrambled Halton sequences, On the number of maximum empty boxes amidst \(n\) points, The ring of \(k\)-regular sequences, The Halton sequence and its discrepancy in the Cantor expansion, Optimal order quadrature error bounds for infinite-dimensional higher-order digital sequences, Improving the efficiency of fully Bayesian optimal design of experiments using randomised quasi-Monte Carlo, Quasi-Monte Carlo sampling to improve the efficiency of Monte Carlo EM, On an example of finite hybrid quasi-Monte Carlo point sets, Average case complexity of linear multivariate problems. II: Applications, The generalized and modified Halton sequences in Cantor bases, Quasi-Monte Carlo methods with applications in finance, Designing a computer experiment that involves switches, Globalization strategies for mesh adaptive direct search, A new class of equal-weight integration rules on the hypercube, Error trends in quasi-Monte Carlo integration, Error in Monte Carlo, quasi-error in quasi-Monte Carlo, Mean-square discrepancies of the Hammersley and Zaremba sequences for arbitrary radix, On optimal extreme-discrepancy point sets in the square, Point sets and sequences with small discrepancy, BAS: Balanced Acceptance Sampling of Natural Resources, On two-dimensional Hammersley's sequences, On construction of parallel algorithms in problems of computational mathematics, Numerical integration in logistic-normal models, On improving the least squares Monte Carlo option valuation method, On the \(L_2\)-discrepancy for anchored boxes, Decentralized observer-based tracker for analog systems with saturating actuator and state constraints, Discrepancy-based error estimates for quasi-Monte Carlo. I: General formalism, Applications of randomized low discrepancy sequences to the valuation of complex securities, Randomized Halton sequences, Multidimensional quasi-Monte Carlo methods, Quasi-Monte Carlo, low discrepancy sequences, and ergodic transformations, A new measure of irregularity of distribution and quasi-Monte Carlo methods for global optimization, Adaptive random search in quasi-Monte Carlo methods for global optimization, A method for exact calculation of the stardiscrepancy of plane sets applied to the sequences of Hammersley, Random and quasirandom sequences: Numerical estimates of uniformity of distribution, A new bias-corrected estimator method in extreme value distributions with small sample size, Quasi-Monte Carlo simulation of Brownian sheet with application to option pricing, Allgemeiner Bericht über Monte-Carlo-Methoden, Strong tractability of multivariate integration using quasi–Monte Carlo algorithms, Compressive Sensing with Cross-Validation and Stop-Sampling for Sparse Polynomial Chaos Expansions, Optimal Halton Sequence via Inversive Scrambling, Steps Toward Derandomizing RRTs, valuation of options on joint minima and maxima, Block preconditioners for linear systems arising from multiscale collocation with compactly supported RBFs, A CARTOPT METHOD FOR BOUND-CONSTRAINED GLOBAL OPTIMIZATION, Decrease of the mean of the quasi-random integration error, Entropy, Randomization, Derandomization, and Discrepancy, Extensions of Atanassov’s Methods for Halton Sequences, Randomized quasi-random sampling/importance resampling, Discrepancy Bounds for β $$\boldsymbol{\beta }$$ -adic Halton Sequences, Unnamed Item, Unnamed Item, Modified controlled random search algorithms, Quantum radial basis function method for the Poisson equation, HALO: a full-orbit model of nonlinear interaction of fast particles with eigenmodes, Radiative heat transfer with quasi-monte carlo methods, On Multiscale Quasi-Interpolation of Scattered Scalar- and Manifold-Valued Functions, An outlier detection and recovery method based on moving least squares quasi-interpolation scheme and \(\text{ł}_0\)-minimization problem, Multi-dimensional summation-by-parts operators for general function spaces: theory and construction, Comparison Between LS-Sequences and $$\beta $$ β -Adic van der Corput Sequences, Application of high-credible statistical results calculation scheme based on least squares quasi-Monte Carlo method in multimodal stochastic problems, NUMBER-THEORETIC METHOD IN APPROXIMATE ANALYSIS, On Sampling Methods for Costly Multi-Objective Black-Box Optimization, Error Estimate of a Quasi-Monte Carlo Time-Splitting Pseudospectral Method for Nonlinear Schrödinger Equation with Random Potentials, О классических теоретико-числовых сетках, On Dropping the First Sobol’ Point, Guidelines for RBF-FD discretization: numerical experiments on the interplay of a multitude of parameter choices, A Universal Median Quasi-Monte Carlo Integration, Expected integration approximation under general equal measure partition, Multivariate Polynomial Chaos Expansions with Dependent Variables, Efficient algorithms for calculating risk measures and risk contributions in copula credit risk models, Hierarchical Matrix Approximation for Kernel-Based Scattered Data Interpolation, TIGHTER BOUNDS FOR THE DISCREPANCY OF BOXES AND POLYTOPES, Discrepancy of Digital Sequences: New Results on a Classical QMC Topic, On Hybrid Point Sets Stemming from Halton-Type Hammersley Point Sets and Polynomial Lattice Point Sets, Pricing Options Using Lattice Rules, Advanced Quasi-Monte Carlo Algorithms for Multidimensional Integrals in Air Pollution Modelling, Unnamed Item, Generating correlated random vector involving discrete variables, Unnamed Item, Factorization, Symmetrization, and Truncated Transformation of Radial Basis Function-GA Stabilized Gaussian Radial Basis Functions, Piercing random boxes, Sequential Design of Experiment for Sparse Polynomial Chaos Expansions, An observer-based decentralized tracker for sampled-data systems: an evolutionary programming approach, Adaptive Sampling for Nonlinear Dimensionality Reduction Based on Manifold Learning, Optimality and Regularization Properties of Quasi-Interpolation: Deterministic and Stochastic Approaches, Valuation of the Reset Options Embedded in Some Equity-Linked Insurance Products, A Backward Doubly Stochastic Differential Equation Approach for Nonlinear Filtering Problems, Deep Nitsche Method: Deep Ritz Method with Essential Boundary Conditions, The Monte Carlo Algorithm with a Pseudorandom Generator, A spectrally accurate numerical implementation of the Fokas transform method for Helmholtz-type PDEs, Multilevel Accelerated Quadrature for PDEs with Log-Normally Distributed Diffusion Coefficient, An integrated collision avoidance system for autonomous underwater vehicles, Variance reduction techniques and quasi-Monte Carlo methods, Quasi-Random Sampling Importance Resampling, Linear quadratic Nash game-based tracker for multiparameter singularly perturbed sampled-data systems: digital redesign approach, Further discrepancy bounds and an Erdös-Turán-Koksma inequality for hybrid sequences, Trust-Region Methods for the Derivative-Free Optimization of Nonsmooth Black-Box Functions, Open type quasi-Monte Carlo integration based on Halton sequences in weighted Sobolev spaces, A genetic algorithm approach to estimate lower bounds of the star discrepancy, Diaphony of Uniform Samples over Hemisphere and Sphere, Quasi-Monte Carlo-based conditional pathwise method for option Greeks, Multilevel Quadrature for Elliptic Parametric Partial Differential Equations in Case of Polygonal Approximations of Curved Domains, Real-Time Valuation of Large Variable Annuity Portfolios: A Green Mesh Approach, DISTRIBUTION PROPERTIES OF GENERALIZED VAN DER CORPUT–HALTON SEQUENCES AND THEIR SUBSEQUENCES, Quasi-Monte Carlo methods and pseudo-random numbers, Iterative Solution of Saddle-Point Systems from Radial Basis Function (RBF) Interpolation, Space-time meshfree collocation method: Methodology and application to initial-boundary value problems, Scrambled Soboĺ sequences via permutation, Numerical Solution of Stochastic Differential Equations in Finance, Sparse Polynomial Chaos Expansions: Literature Survey and Benchmark, From Fault-Diagnosis and Performance Recovery of a Controlled System to Chaotic Secure Communication, A Simple Geometric Method for Navigating the Energy Landscape of Centroidal Voronoi Tessellations, Discrete dividends and the FTSE-100 index options valuation, A supplement to sowey's bibliography on random number generation and related topics, Enhancing Accuracy of Deep Learning Algorithms by Training with Low-Discrepancy Sequences, Low Discrepancy Constructions in the Triangle, Efficient Large-Scale Multi-Drone Delivery using Transit Networks, Discrepancy with respect to kaplan-meier estimator, Ergodic properties of -adic Halton sequences, Upper Bounds in Classical Discrepancy Theory, Calculation of Discrepancy Measures and Applications, The error bounds and tractability of quasi-Monte Carlo algorithms in infinite dimension, Digital redesign of uncertain systems with state and input delays using evolutionary programming, Dynamic scaling in the mesh adaptive direct search algorithm for blackbox optimization, A constructive approach to strong tractability using quasi-Monte Carlo algorithms, Simulation methods in ruin models with nonlinear dividend barriers., Biases in maximum simulated likelihood estimation of bivariate models, Quasi-random numbers for copula models, Fast, portable, and reliable algorithm for the calculation of Halton numbers, Finite-order weights imply tractability of multivariate integration, Stable high-order cubature formulas for experimental data, QUASI-MONTE CARLO METHODS FOR HIGH-DIMENSIONAL INTEGRATION: THE STANDARD (WEIGHTED HILBERT SPACE) SETTING AND BEYOND, A stochastic analysis of greedy routing in a spatially dependent sensor network, Quasi-random points keep their distance, Preconditioning for radial basis function partition of unity methods, Sequential experimental design based generalised ANOVA, Effective discrepancy and numerical experiments, Sequential Monto Carlo techniques for the solution of linear systems, Derivative-free methods for mixed-integer nonsmooth constrained optimization, A stochastic extended Rippa's algorithm for LpOCV, On number-theoretic method in statistics simulation, Efficient reduced basis algorithm (ERBA) for kernel-based approximation, Irregularities of point distributions relative to homothetic convex bodies. I, A branch and bound algorithm for the global optimization of Hessian Lipschitz continuous functions, Quasi-Monte Carlo Image Synthesis in a Nutshell, Deterministic Consistent Density Estimation for Light Transport Simulation, Quasi-random ranked set sampling, Pair correlations of Halton and Niederreiter sequences are not Poissonian, Quasi-Monte-Carlo methods and the dispersion of point sequences, Smoothness and dimension reduction in quasi-Monte Carlo methods, Efficient approximate dynamic programming based on design and analysis of computer experiments for infinite-horizon optimization, Two-dimensional RBF-ENO method on unstructured grids, Dependence properties of scrambled Halton sequences, Smart sampling and incremental function learning for very large high dimensional data, On the quasi-Monte Carlo method with Halton points for elliptic PDEs with log-normal diffusion, Multicriteria engineering optimization problems: statement, solution and applications, Computational error bounds for Laplace transform inversion based on smoothing splines, A comprehensive study of non-adaptive and residual-based adaptive sampling for physics-informed neural networks, A two-stage adaptive scheme based on RBF collocation for solving elliptic PDEs, Towards stability results for global radial basis function based quadrature formulas, Multicriteria analysis tools in real-life problems, Small sample uniformity in random number generation, On the largest empty axis-parallel box amidst \(n\) points, Numerical detection of patterns in CPGs: gait patterns in insect movement, Halton-type sequences from global function fields, Alternative sampling methods for estimating multivariate normal probabilities, Construction of computer experiment designs using marked point processes, Multilevel Monte Carlo by using the Halton sequence, Using QR decomposition to obtain a new instance of mesh adaptive direct search with uniformly distributed polling directions, A parallel Voronoi-based approach for mesoscale simulations of cell aggregate electropermeabilization, Kriging-sparse polynomial dimensional decomposition surrogate model with adaptive refinement, An equi-directional generalization of adaptive cross approximation for higher-order tensors, An algorithmic framework based on primitive directions and nonmonotone line searches for black-box optimization problems with integer variables, On irregularities of distribution. IV, Discrepancy bounds for deterministic acceptance-rejection samplers, Improving the rejection sampling method in quasi-Monte Carlo methods, Ruin theory with risk proportional to the free reserve and securitization, Recent constructions of low-discrepancy sequences, Reduced-order modeling of time-dependent PDEs with multiple parameters in the boundary data, The extension of Rippa's algorithm beyond LOOCV, Generation and application of multivariate polynomial quadrature rules, Discrepancy bounds for a class of negatively dependent random points including Latin hypercube samples, The smoothed particle hydrodynamics method via residual iteration, A CUDA-based implementation of an improved SPH method on GPU, Variance-based adaptive sequential sampling for polynomial chaos expansion, Parallelized hybrid optimization methods for nonsmooth problems using NOMAD and linesearch, A normalized iterative smoothed particle hydrodynamics method, A stable computation on local boundary-domain integral method for elliptic PDEs, Low discrepancy sequences in high dimensions: how well are their projections distributed?, Stochastic and quasistochastic computations, Computer experiments: a review, Highlighting numerical insights of an efficient SPH method, Modeling and analysis of melanoblast motion, Variance reduction in sample approximations of stochastic programs, Application of deterministic low-discrepancy sequences in global optimization, Epi-convergent discretizations of stochastic programs via integration quadratures, EP-based adaptive tracker with observer and fault estimator for nonlinear time-varying sampled-data systems against actuator failures, A nonlocal functional promoting low-discrepancy point sets, Density codes and shape spaces, A variant of Atanassov's method for \((t, s)\)-sequences and \((t, \mathbf{e}, s)\)-sequences, Numerical Solution of the Poisson Equation on Domains with a Thin Layer of Random Thickness, Quadrature points via heat kernel repulsion, Mixed discrete least squares meshless method for planar elasticity problems using regular and irregular nodal distributions, A modified moving least-squares suitable for scattered data fitting with outliers, A stable meshfree PDE solver for source-type flows in porous media, Multilevel methods for uncertainty quantification of elliptic PDEs with random anisotropic diffusion, The extreme and \(L^2\) discrepancies of some plane sets, Numerical Quadrature over the Surface of a Sphere, Numerical experiments in semi-infinite programming, \(h\)-\(p\) adaptive model based approximation of moment free sensitivity indices, La discrépance isotrope et l'intégration numérique, Quasi-random sequences by power residues, Approximation of a ball by zonotopes using uniform distribution on the sphere, On a number-theoretical integration method, Infinite-dimensional integration on weighted Hilbert spaces, Adaptive sparse approximations of scattered data, Modeling of the ARMA random effects covariance matrix in logistic random effects models, Quasi Monte Carlo time-frequency analysis, On the optimal Halton sequence, Multilevel quadrature for elliptic problems on random domains by the coupling of FEM and BEM, Reliability analysis of discrete-state performance functions via adaptive sequential sampling with detection of failure surfaces, RBF based quadrature on the sphere, Spatially balanced sampling with local ranking



Cites Work