One more experiment on estimating high-dimensional integrals by quasi-Monte Carlo methods

Sobol’, I.m and D.i Asotsky

Mathematics and Computers in Simulation (MATCOM), 2003, vol. 62, issue 3, 255-263

Abstract: Integrands that depend on a large number of equally important variables are considered and conditions that make expedient quasi-Monte Carlo integrations are investigated for dimensions n≤300.

Keywords: Monte Carlo method; Quasi-Monte Carlo method; Numerical integration; Quasi-random sequence (search for similar items in EconPapers)
Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378475402002288
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:62:y:2003:i:3:p:255-263

DOI: 10.1016/S0378-4754(02)00228-8

Access Statistics for this article

Mathematics and Computers in Simulation (MATCOM) is currently edited by Robert Beauwens

More articles in Mathematics and Computers in Simulation (MATCOM) from Elsevier
Bibliographic data for series maintained by Catherine Liu ().