On selection criteria for lattice rules and other quasi-Monte Carlo point sets

We define new selection criteria for lattice rules for quasi-Monte Carlo integration. The criteria examine the projections of the lattice over subspaces of small or successive dimensions. Their computation exploits the dimension-stationarity of certain lattice rules, and of other low-discrepancy point sets sharing this property. Numerical results illustrate the usefulness of these new figures of merit.

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Year of publication:	2001
Authors:	Lemieux, Christiane ; L’Ecuyer, Pierre
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 55.2001, 1, p. 139-148
Publisher:	Elsevier
Subject:	Monte Carlo \| Lattice rules \| Point sets \| Quasi-Monte Carlo \| Selection criteria

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010749493