Variance reduction techniques and quasi-Monte Carlo methods

DOI10.1016/S0377-0427(00)00331-9MaRDI QIDQ5946106zbMATH OpenFDO

Authors Xiaoqun Wang

Publication date 14 May 2002

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

Full work available at URL https://doi.org/10.1016/S0377-0427(00)00331-9

zbMATH Keywords

convergenceMonte Carlo methodsquasi-Monte Carlo methodsquasi-random integration rulesvariance reduction

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32)

Recommendations

• scientific article; zbMATH DE number 1839759
• Quasi-Monte Carlo methods with applications in finance
• scientific article; zbMATH DE number 2000358
• Variance reduction order using good lattice points in Monte Carlo methods
• Control variates for quasi-Monte Carlo (with comments and rejoinder)

Cites work

• Discrépance de suites associées à un système de numération (en dimension s)
• scientific article; zbMATH DE number 3841285 (Why is no real title available?)
• scientific article; zbMATH DE number 3728384 (Why is no real title available?)
• scientific article; zbMATH DE number 53679 (Why is no real title available?)
• scientific article; zbMATH DE number 735224 (Why is no real title available?)
• On the distribution of points in a cube and the approximate evaluation of integrals
• On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
• Quasi-Monte Carlo integration
• Quasi-Random Methods for Estimating Integrals Using Relatively Small Samples
• Smoothness and dimension reduction in quasi-Monte Carlo methods

Cited in

(11)

• Variance reduction order using good lattice points in Monte Carlo methods
• Methods of decreasing a variance by simulation and the analysis of their effectiveness
• A variance reducing multiplier for Monte Carlo integrations
• On the use of dimension reduction techniques in quasi-Monte Carlo methods
• Variance reduction techniques for estimation of integrals over a set of branching trajectories
• scientific article; zbMATH DE number 3890692 (Why is no real title available?)
• Variance Reduction Techniques for Digital Simulation
• scientific article; zbMATH DE number 1215244 (Why is no real title available?)
• A variance reduction technique based on integral representations
• Robust Variance Reduction for Random Walk Methods
• scientific article; zbMATH DE number 1839759 (Why is no real title available?)

This page was built for publication: Variance reduction techniques and quasi-Monte Carlo methods

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5946106)