INTEGRATION WITH QUASIRANDOM SEQUENCES: NUMERICAL EXPERIENCE

Ilya M. Sobol’ and Boris V. Shukhman ()
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Ilya M. Sobol’: Institute for Mathematical Modelling of the Russian Academy of Sciences, 4 Miusskaya Square, Moscow 125047, Russia
Boris V. Shukhman: School of Computer Science, McGill University, 3480 University Street, Montreal Quebec, Canada H3A 2A7, Canada

International Journal of Modern Physics C (IJMPC), 1995, vol. 06, issue 02, 263-275

Abstract: Numerical experiments with two multivariable integrands and various quasirandom sequences are described. The integrands were introduced as models of Monte Carlo algorithms for particle tracking with or without statistical weights. Though analytically both integrands are very similar, the corresponding integration errors behave quite differently.From these experiments together with earlier ones (that are briefly summarized in the paper) several non-standard conclusions are drawn both on quasirandom sequences and on types of integrands.

Keywords: Multidimensional Integration; Quasirandom Sequences; Numerical Experiments (search for similar items in EconPapers)
Date: 1995
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DOI: 10.1142/S0129183195000204

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