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

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  • Lemieux, Christiane
  • L’Ecuyer, Pierre

Abstract

We define new selection criteria for lattice rules for quasi-Monte Carlo integration. The criteria examine the projections of the lattice over subspaces of small or successive dimensions. Their computation exploits the dimension-stationarity of certain lattice rules, and of other low-discrepancy point sets sharing this property. Numerical results illustrate the usefulness of these new figures of merit.

Suggested Citation

  • Lemieux, Christiane & L’Ecuyer, Pierre, 2001. "On selection criteria for lattice rules and other quasi-Monte Carlo point sets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 55(1), pages 139-148.
    • Handle: RePEc:eee:matcom:v:55:y:2001:i:1:p:139-148
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    References listed on IDEAS

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    1. Pierre L'Ecuyer & Christiane Lemieux, 2000. "Variance Reduction via Lattice Rules," Management Science, INFORMS, vol. 46(9), pages 1214-1235, September.
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    Cited by:

    1. Rosen, Dan & Saunders, David, 2010. "Risk factor contributions in portfolio credit risk models," Journal of Banking & Finance, Elsevier, vol. 34(2), pages 336-349, February.

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