Monte Carlo Method for Numerical Integration Based on Sobol’s Sequences

DOI10.1007/978-3-642-18466-6_5zbMath1317.65007OpenAlexW1510139796MaRDI QIDQ3075263

Rayna Georgieva, Ivan T. Dimov

Publication date: 11 February 2011

Published in: Numerical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-18466-6_5

zbMATH Keywords

Monte Carlo methodmultidimensional integrationSobol's sequences

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Numerical integration (65D30)

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Uses Software

• SFMT
• sobol.cc

Cites Work

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• Constructing Sobol Sequences with Better Two-Dimensional Projections
• Low-discrepancy and low-dispersion sequences
• A Randomized Quasi-Monte Carlo Simulation Method for Markov Chains
• Algorithm 659
• On the Systematic Search in a Hypercube
• Monte Carlo Methods for Applied Scientists