Quasi-random integration in high dimensions

DOI10.1016/J.MATCOM.2006.04.001MaRDI QIDQ868094zbMATH OpenOpenAlexWikidataFDO

Authors George Takhtamyshev, Bart Vandewoestyne, Ronald Cools

Publication date 19 February 2007

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.matcom.2006.04.001

zbMATH Keywords

cubatureconvergencenumerical examplesquasi-Monte Carlo methodmultivariate numerical integrationRichtmyer sequenceSobol' sequence

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Recommendations

• Quasi-Monte Carlo Methods for Numerical Integration: Comparison of Different Low Discrepancy Sequences
• Monte Carlo method for numerical integration based on Sobol's sequences
• Remark on algorithm 659
• Multidimensional quasi-Monte Carlo methods
• Monte Carlo integration with quasi-random numbers: Experience with discontinuous integrands

Cites work

• scientific article; zbMATH DE number 3859060 (Why is no real title available?)
• scientific article; zbMATH DE number 53679 (Why is no real title available?)
• scientific article; zbMATH DE number 274399 (Why is no real title available?)
• Algorithm 659
• An economic method of computing LPτ-sequences
• Discrepancy behaviour in the non-asymptotic regime
• Error trends in quasi-Monte Carlo integration
• Multidimensional sampling for simulation and integration: Measures, discrepancies, and quasi-random numbers
• On the Systematic Search in a Hypercube
• On the distribution of points in a cube and the approximate evaluation of integrals
• One more experiment on estimating high-dimensional integrals by quasi-Monte Carlo methods
• Remark on algorithm 659
• Theory and application of Marsaglia's monkey test for pseudorandom number generators
• Uniformly distributed sequences with an additional uniform property

Cited in

(6)

• Monte Carlo method for numerical integration based on Sobol's sequences
• Constructing Sobol Sequences with Better Two-Dimensional Projections
• Remark on algorithm 659
• Multidimensional integration through Markovian sampling under steered function morphing: a physical guise from statistical mechanics
• Geometric characterization of Weyl's discrepancy norm in terms of its \(n\)-dimensional unit balls
• Random Construction of Interpolating Sets for High-Dimensional Integration

Describes a project that uses

Uses Software

• sobol.cc
• TESTPACK
• TOMS659

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