Monte Carlo integration with quasi-random numbers: Experience with discontinuous integrands

DOI10.1016/S0010-4655(96)00131-2zbMath0927.65040OpenAlexW1972029686MaRDI QIDQ1295818

V. Pereyra

Publication date: 5 October 1999

Published in: Computer Physics Communications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0010-4655(96)00131-2

zbMATH Keywords

numerical examplesMonte Carlo integrationquasi-Monte Carlo integrationpseudo-random numbersquasi-random numberspseudo-random samplingquasi-random sampling

Mathematics Subject Classification ID

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

Related Items

Discrepancy behaviour in the non-asymptotic regime, Gaussian limits for discrepancies. I: Asymptotic results, Improving the rejection sampling method in quasi-Monte Carlo methods, Handling Discontinuities in Financial Engineering: Good Path Simulation and Smoothing, Error trends in quasi-Monte Carlo integration, Quasi-Monte Carlo methods applied to tau-leaping in stochastic biological systems

Uses Software

• Mathematica

Cites Work

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• Radiative heat transfer with quasi-monte carlo methods
• Implementation and tests of low-discrepancy sequences