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

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.

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Year of publication:	2003
Authors:	Sobol’, I.M ; Asotsky, D.I
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 62.2003, 3, p. 255-263
Publisher:	Elsevier
Subject:	Monte Carlo method \| Quasi-Monte Carlo method \| Numerical integration \| Quasi-random sequence

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

Persistent link: https://www.econbiz.de/10011050789