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Licensed Unlicensed Requires Authentication Published by De Gruyter May 10, 2014

Quasi-Monte Carlo: A high-dimensional experiment

  • Ilya M. Sobol EMAIL logo and Boris V. Shukhman

Abstract

Certain very high-dimensional integrals can be efficiently approximated by quasi-Monte Carlo (q-MC) methods. If the average dimension of the integrand is small, the convergence rate can be near to 1/N, where N is the sample size.

MSC: 11K45

The authors recognize the technical assistance of Alex Sobol in preparing this manuscript for publication. The authors are grateful to Michael Milgram and Ronald Davis for their useful suggestions improving the quality of the manuscript.

Received: 2013-12-18
Accepted: 2014-4-20
Published Online: 2014-5-10
Published in Print: 2014-9-1

© 2014 by De Gruyter

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