Randomization of lattice rules for numerical multiple integration

DOI10.1016/0377-0427(90)90172-VzbMath0702.65021OpenAlexW2056700795MaRDI QIDQ915357

Stephen Joe

Publication date: 1990

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-0427(90)90172-v

zbMATH Keywords

confidence intervalsmultiple integrationcalculable error estimatenumber-theoretic rulesrandomization of lattice rules

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Multidimensional problems (41A63) Approximate quadratures (41A55) Numerical quadrature and cubature formulas (65D32)

Related Items (11)

Numerical computation of multivariatet-probabilities with application to power calculation of multiple contrasts ⋮ Probability Integrals of the Multivariate t Distribution ⋮ Pricing Options Using Lattice Rules ⋮ Randomized quasi-Monte Carlo methods in pricing securities ⋮ Randomly shifted lattice rules on the unit cube for unbounded integrands in high dimensions ⋮ Parameterization based on randomized quasi-Monte Carlo methods ⋮ Comparison of Exact and Resampling Based Multiple Testing Procedures ⋮ Optimal multilevel randomized quasi-Monte-Carlo method for the stochastic drift-diffusion-Poisson system ⋮ Variance reduction order using good lattice points in Monte Carlo methods ⋮ Applications of randomized low discrepancy sequences to the valuation of complex securities ⋮ Randomized Halton sequences

Cites Work

• Lattice methods for multiple integration
• An Introduction to Lattice Rules and their Generator Matrices
• Lattice Methods for Multiple Integration: Theory, Error Analysis and Examples
• The Representation of Lattice Quadrature Rules as Multiple Sums
• Imbedded Lattice Rules for Multidimensional Integration
• Randomization of Number Theoretic Methods for Multiple Integration

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