One more experiment on estimating high-dimensional integrals by quasi-Monte Carlo methods
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DOI: 10.1016/S0378-4754(02)00228-8
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- 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.
- Spassimir H. Paskov & Joseph F. Traub, 1995. "Faster Valuation of Financial Derivatives," Working Papers 95-03-034, Santa Fe Institute.
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- Takhtamyshev, George & Vandewoestyne, Bart & Cools, Ronald, 2007. "Quasi-random integration in high dimensions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 73(5), pages 309-319.
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Keywords
Monte Carlo method; Quasi-Monte Carlo method; Numerical integration; Quasi-random sequence;All these keywords.
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