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Quasi-Monte Carlo: A high-dimensional experiment

Author

Listed:
  • Sobol Ilya M.

    (Keldysh Institute of Applied Mathematics, 4, Miusskaya sq., Moscow, 125047, Russia)

  • Shukhman Boris V.

    (18-5 Vereyken Crescent, Petawawa, Ontario, K8H-2C5, Canada)

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.

Suggested Citation

  • Sobol Ilya M. & Shukhman Boris V., 2014. "Quasi-Monte Carlo: A high-dimensional experiment," Monte Carlo Methods and Applications, De Gruyter, vol. 20(3), pages 167-171, September.
    • Handle: RePEc:bpj:mcmeap:v:20:y:2014:i:3:p:167-171:n:1
    DOI: 10.1515/mcma-2013-0022
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    References listed on IDEAS

    as
    1. Ilya M. Sobol’ & Boris V. Shukhman, 1995. "Integration With Quasirandom Sequences: Numerical Experience," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 263-275.
    2. Spassimir H. Paskov & Joseph F. Traub, 1995. "Faster Valuation of Financial Derivatives," Working Papers 95-03-034, Santa Fe Institute.
    3. Liu, Ruixue & Owen, Art B., 2006. "Estimating Mean Dimensionality of Analysis of Variance Decompositions," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 712-721, June.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Marco Bianchetti & Sergei Kucherenko & Stefano Scoleri, 2015. "Pricing and Risk Management with High-Dimensional Quasi Monte Carlo and Global Sensitivity Analysis," Papers 1504.02896, arXiv.org.

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