Search Results - subject:"lattice rules"

Note on pairwise negative dependence of randomly shifted and jittered rank-1 lattices

Wnuk, Marcin; Gnewuch, Michael - In: Operations research letters 48 (2020) 4, pp. 410-414

Persistent link: https://www.econbiz.de/10012294754

Optimal Randomized Multilevel Algorithms for Infinite-Dimensional Integration on Function Spaces with ANOVA-Type Decomposition

Gnewuch, Michael; Baldeaux, Jan - Finance Discipline Group, Business School - 2012

quasi-Monte Carlo multilevel algorithms based on scrambled polynomial lattice rules. …

Persistent link: https://www.econbiz.de/10010883497

Quasi-Monte Carlo for Highly Structured Generalised Response Models

Sloan, I. H.; Kuo, F. Y.; Dunsmuir, W. T.; Wand, M.; … - 2007

applications is yet to be fully explored. We survey recent research in QMC, particularly lattice rules, and report on its …

Persistent link: https://www.econbiz.de/10009457431

Estimation of the mixed logit likelihood function by randomized quasi-Monte Carlo

Munger, D.; L’Ecuyer, P.; Bastin, F.; Cirillo, C.; … - In: Transportation Research Part B: Methodological 46 (2012) 2, pp. 305-320

Halton points, but our main emphasis is on randomly-shifted lattice rules, for which we study how to select the parameters as … value. In our numerical experiments, randomized lattice rules (with carefully selected parameters) and digital nets are the …

Persistent link: https://www.econbiz.de/10010577921

A construction of higher-rank lattice rules

Langtry, Timothy N. - In: Mathematics and Computers in Simulation (MATCOM) 55 (2001) 1, pp. 103-111

Lattice rules are quasi-Monte Carlo methods for numerical multiple integration that are based on the selection of an s …

Persistent link: https://www.econbiz.de/10010749036

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

Lemieux, Christiane; L’Ecuyer, Pierre - In: Mathematics and Computers in Simulation (MATCOM) 55 (2001) 1, pp. 139-148

We define new selection criteria for lattice rules for quasi-Monte Carlo integration. The criteria examine the …-stationarity of certain lattice rules, and of other low-discrepancy point sets sharing this property. Numerical results illustrate the …

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

Variance Reduction via Lattice Rules

L'Ecuyer, Pierre; Lemieux, Christiane - In: Management Science 46 (2000) 9, pp. 1214-1235

infinite) number of dimensions. We examine selection criteria for the lattice rules and suggest criteria which take into …

Persistent link: https://www.econbiz.de/10009214185