Randomization of lattice rules for numerical multiple integration

DOI10.1016/0377-0427(90)90172-VMaRDI QIDQ915357zbMATH OpenOpenAlexFDO

Authors Stephen Joe

Publication date 1990

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0377-0427(90)90172-v

zbMATH Keywords

confidence intervalsmultiple integrationcalculable error estimatenumber-theoretic rulesrandomization of lattice rules

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32) Multidimensional problems (41A63) Approximate quadratures (41A55)

Cites work

• An Introduction to Lattice Rules and their Generator Matrices
• Imbedded Lattice Rules for Multidimensional Integration
• Lattice Methods for Multiple Integration: Theory, Error Analysis and Examples
• Lattice methods for multiple integration
• Randomization of Number Theoretic Methods for Multiple Integration
• The Representation of Lattice Quadrature Rules as Multiple Sums

Cited in

(12)

• Multidimensional numerical integration using pseudorandom numbers
• Randomized quasi-Monte Carlo methods in pricing securities
• Applications of randomized low discrepancy sequences to the valuation of complex securities
• Randomly shifted lattice rules on the unit cube for unbounded integrands in high dimensions
• Comparison of Exact and Resampling Based Multiple Testing Procedures
• Pricing Options Using Lattice Rules
• Variance reduction order using good lattice points in Monte Carlo methods
• Probability Integrals of the Multivariate t Distribution
• Parameterization based on randomized quasi-Monte Carlo methods
• Numerical computation of multivariatet-probabilities with application to power calculation of multiple contrasts
• Optimal multilevel randomized quasi-Monte-Carlo method for the stochastic drift-diffusion-Poisson system
• Randomized Halton sequences

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