Randomized quasi-Monte Carlo methods in global sensitivity analysis

Ökten, Giray and Yaning Liu

Reliability Engineering and System Safety, 2021, vol. 210, issue C

Abstract: Randomized quasi-Monte Carlo methods have enjoyed increasing popularity in applications due to their faster convergence rate than Monte Carlo, and the existence of simple statistical tools to analyze the error of their estimates similar to Monte Carlo. In this paper we give a survey of randomized quasi-Monte Carlo methods, transformation methods for low-discrepancy sequences, and provide some examples.

Keywords: Global sensitivity analysis; Quasi-Monte Carlo; Randomized quasi-Monte Carlo (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (16)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reensy:v:210:y:2021:i:c:s0951832021000818

DOI: 10.1016/j.ress.2021.107520

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