On the necessity of low-effective dimension

DOI10.1016/j.jco.2005.05.004zbMath1089.65006OpenAlexW2077689777MaRDI QIDQ2576277

Shu Tezuka

Publication date: 27 December 2005

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jco.2005.05.004

zbMATH Keywords

decomposition methodWalsh functionsMonte Carlo methodANOVAquasi-Monte Carlo methodanalysis of varianceeffective dimensionhigh-dimensional integralsgeneralized Sobol' sequencesglobal sensibility

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Analysis of variance and covariance (ANOVA) (62J10) Pseudo-random numbers; Monte Carlo methods (11K45)

Related Items (3)

Exact cubature for a class of functions of maximum effective dimension ⋮ How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance? ⋮ The average dimension of a multidimensional function for quasi-Monte Carlo estimates of an integral

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• On the distribution of points in a cube and the approximate evaluation of integrals
• Geometric discrepancy. An illustrated guide
• Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates

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