Quasi-Monte Carlo: A high-dimensional experiment

Sobol Ilya M. and Shukhman Boris V. ()
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Sobol Ilya M.: Keldysh Institute of Applied Mathematics, 4, Miusskaya sq., Moscow, 125047, Russia
Shukhman Boris V.: 18-5 Vereyken Crescent, Petawawa, Ontario, K8H-2C5, Canada

Monte Carlo Methods and Applications, 2014, vol. 20, issue 3, 167-171

Abstract: Certain very high-dimensional integrals can be efficiently approximated by quasi-Monte Carlo (q-MC) methods. If the average dimension of the integrand is small, the convergence rate can be near to 1/N, where N is the sample size.

Keywords: Quasi-Monte Carlo; Sobol sequences; high-dimensional integration; average dimension; mean dimension (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1515/mcma-2013-0022

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