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  • Search: subject:"Multivariate numerical integration"
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Multivariate numerical integration 2 Quasi-Monte Carlo 2 Cubature 1
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Undetermined 2
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Article 2
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Cools, Ronald 2 Vandewoestyne, Bart 2 Pillards, Tim 1 Takhtamyshev, George 1
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Mathematics and Computers in Simulation (MATCOM) 2
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RePEc 2
Showing 1 - 2 of 2
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An adaptive approach to cube-based quasi-Monte Carlo integration on Rd
Pillards, Tim; Vandewoestyne, Bart; Cools, Ronald - In: Mathematics and Computers in Simulation (MATCOM) 80 (2010) 6, pp. 1104-1117
The standard domain for quasi-Monte Carlo approximations is the unit cube. Recently, much research has been done to make quasi-Monte Carlo methods applicable to the real space. Mathé and Wei proposed an algorithm that splits Rd into cubes. One of the difficulties with their approach is that the...
Persistent link: https://www.econbiz.de/10010870341
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Quasi-random integration in high dimensions
Takhtamyshev, George; Vandewoestyne, Bart; Cools, Ronald - In: Mathematics and Computers in Simulation (MATCOM) 73 (2007) 5, pp. 309-319
In this paper, we show that the Sobol’ and Richtmyer sequences can be effectively used for numerical integration of functions having up to 1000 variables. The results of integration obtained with the two sequences are compared and the parameters C and α from the convergence model C/Nα are...
Persistent link: https://www.econbiz.de/10011051048
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