A limit theorem for average dimensions

Shukhman Boris V. () and Sobol Ilya M. ()
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Shukhman Boris V.: 1H-580 Place de la Fontaine, Montreal, QC, Canada
Sobol Ilya M.: Keldysh Institute of Applied Mathematics, 4, Miusskaya sq., Moscow, 125047, Russia

Monte Carlo Methods and Applications, 2015, vol. 21, issue 2, 175-178

Abstract: A family of d-dimensional functions is introduced. It includes the test functions that in [Monte Carlo Methods Appl. 20 (2014), no. 3, 167–171] demonstrate the efficiency of certain quasi-Monte Carlo integrations. The average dimensions of these d-dimensional functions converge as d → ∞.

Keywords: Quasi-Monte Carlo; high-dimensional integrals; average dimension; Owen's formula; sensitivity index (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1515/mcma-2014-0018

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