Quasi-random integration in high dimensions

DOI10.1016/j.matcom.2006.04.001zbMath1109.65006OpenAlexW1997539695WikidataQ57778895 ScholiaQ57778895MaRDI QIDQ868094

George Takhtamyshev, Bart Vandewoestyne, Ronald Cools

Publication date: 19 February 2007

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2006.04.001

zbMATH Keywords

cubatureconvergencenumerical examplesquasi-Monte Carlo methodmultivariate numerical integrationRichtmyer sequenceSobol' sequence

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

Related Items (2)

Multidimensional integration through Markovian sampling under steered function morphing: a physical guise from statistical mechanics ⋮ Geometric characterization of Weyl's discrepancy norm in terms of its \(n\)-dimensional unit balls

Uses Software

• TOMS659
• TESTPACK
• sobol.cc

Cites Work

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• Discrepancy behaviour in the non-asymptotic regime
• Error trends in quasi-Monte Carlo integration
• Multidimensional sampling for simulation and integration: Measures, discrepancies, and quasi-random numbers
• One more experiment on estimating high-dimensional integrals by quasi-Monte Carlo methods
• Algorithm 659
• An economic method of computing LPτ-sequences
• On the Systematic Search in a Hypercube
• Uniformly distributed sequences with an additional uniform property
• Theory and application of Marsaglia's monkey test for pseudorandom number generators
• Remark on algorithm 659
• On the distribution of points in a cube and the approximate evaluation of integrals

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