The effective dimension and quasi-Monte Carlo integration
type: Item
instance of: scholarly article
title: The effective dimension and quasi-Monte Carlo integration
zbMATH Open document ID: 1021.65002
DOI: 10.1016/S0885-064X(03)00003-7
author: Xiaoqun Wang
author: Kai-Tai Fang
published in: Journal of Complexity
publication date: 2003-05-04T00:00:00Z
review text: It was found empirically that quasi-Monte Carlo methods are superior to Monte Carlo methods for high-dimensional integrals arising in finance. This performance is related the notion of effective dimension. The main objectives of this paper are: (1) to analyse the effective dimension for some functions; (2) to develop numerical algorithms for determining the effective dimension of an arbitrary square integrable function; (3) to compare the performance of dimension reduction techniques.
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 1903487
zbMATH Keywords: effective dimension
zbMATH Keywords: quasi-Monte Carlo methods
zbMATH Keywords: low discrepancy sequences
zbMATH Keywords: multivariate integration
zbMATH Keywords: dimension reduction
zbMATH Keywords: algorithms
reviewed by: Radu Theodorescu
MaRDI profile type: Publication
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full work available at URL: s0885-064x(03)00003-7
OpenAlex ID: W2004971474
description: scientific article; zbMATH DE number 1903487