On global sensitivity analysis of quasi-Monte Carlo algorithms

Sobol´ I.M. and Kucherenko S.S.
Additional contact information
Sobol´ I.M.: 1. Institute for Mathematical Modelling of the Russian Academy of Sciences, 4 Miusskaya Square, Moscow 125047, Russia.
Kucherenko S.S.: 2. Imperial College London, SW7 2AZ, UK

Monte Carlo Methods and Applications, 2005, vol. 11, issue 1, 83-92

Abstract: Different Quasi-Monte Carlo algorithms corresponding to the same Monte Carlo algorithm are considered. Even in the case when their constructive dimensions are equal and the same quasi-random points are used, the efficiencies of these algorithms may differ. Global sensitivity analysis provides an insight into this situation. As a model problem two well-known approximations of a Wiener integral are considered: the standard one and the Brownian bridge. The advantage of the Brownian bridge is confirmed.

Keywords: Monte Carlo; Quasi-Monte Carlo; Global sensitivity analysis; Brownian bridge. (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (8)

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DOI: 10.1515/1569396054027274

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