Variance reduction order using good lattice points in Monte Carlo methods

DOI10.1007/BF02684386MaRDI QIDQ1282166zbMATH OpenFDO

Authors Bruno Tuffin

Publication date 23 August 1999

Published in Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02684386

zbMATH Keywords

computational efficiencygood lattice pointsnumerical examplesnumerical integrationquasi-Monte Carlo methodsvariance reduction

Mathematics Subject Classification ID

Well-distributed sequences and other variations (11K36) Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32) Complexity and performance of numerical algorithms (65Y20)

Review text

The author investigates the variance reduction and the computational efficiency of combined Monte Carlo and quasi-Monte Carlo methods with respect to the crude Monte Carlo estimator. He shows that for a specific class of functions with small Fourier coefficients and using good lattice points, the variance reduction of the combined estimator is faster than the crude one. One section of the paper presents numerical results. This paper should be read by people interested in error estimation and efficiency of Monte Carlo and quasi-Monte Carlo methods. It is a continuation of the author's PhD thesis.

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Cites work

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Cited in

(5)

• On the distribution of integration error by randomly-shifted lattice rules
• Estimation of multidimensional integrals: is Monte Carlo the best method?
• On selection criteria for lattice rules and other quasi-Monte Carlo point sets
• Variance reduction techniques and quasi-Monte Carlo methods
• Sufficient conditions for central limit theorems and confidence intervals for randomized quasi-Monte Carlo methods

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