Error trends in quasi-Monte Carlo integration

DOI10.1016/j.cpc.2004.02.004zbMath1196.65026OpenAlexW2028231935MaRDI QIDQ709518

Christoph Schlier

Publication date: 18 October 2010

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

Full work available at URL: https://doi.org/10.1016/j.cpc.2004.02.004

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Related Items (4)

Degradation-based maintenance decision using stochastic filtering for systems under imperfect maintenance ⋮ Quasi-random integration in high dimensions ⋮ On scrambled Halton sequences ⋮ Error in Monte Carlo, quasi-error in quasi-Monte Carlo

Uses Software

• Algorithm 823
• TESTPACK
• rhalton
• Algorithm 247

Cites Work

• Discrepancy behaviour in the non-asymptotic regime
• On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
• Low-discrepancy and low-dispersion sequences
• An improved low-discrepancy sequence for multidimensional quasi-Monte Carlo integration
• Scrambling Sobol' and Niederreiter-Xing points
• Monte Carlo integration with quasi-random numbers: Experience with discontinuous integrands
• Monte Carlo integration with quasi-random numbers: Some experience
• Sufficient conditions for fast quasi-Monte Carlo convergence
• Randomized Halton sequences
• The effective dimension and quasi-Monte Carlo integration
• Quasi-Monte Carlo integration
• Randomization of Number Theoretic Methods for Multiple Integration
• Programs to generate Niederreiter's low-discrepancy sequences
• Computational investigations of low-discrepancy sequences
• Monte Carlo Variance of Scrambled Net Quadrature
• Fast convergence of quasi-Monte Carlo for a class of isotropic integrals
• Quasi-Monte Carlo Methods for Numerical Integration: Comparison of Different Low Discrepancy Sequences
• Algorithm 823
• On the distribution of points in a cube and the approximate evaluation of integrals
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