Quadrature Error Bounds with Applications to Lattice Rules
SIAM Journal on Numerical Analysis
When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
Journal of Complexity
Digital Nets and Sequences: Discrepancy Theory and Quasi-Monte Carlo Integration
Digital Nets and Sequences: Discrepancy Theory and Quasi-Monte Carlo Integration
Hi-index | 0.00 |
A new method for estimating Sobol' indices is proposed. The new method makes use of 3 independent input vectors rather than the usual 2. It attains much greater accuracy on problems where the target Sobol' index is small, even outperforming some oracles that adjust using the true but unknown mean of the function. The new estimator attains a better rate of convergence than the old one in a small effects limit. When the target Sobol' index is quite large, the oracles do better than the new method.