Quasi-Monte Carlo integration

Latin supercube sampling for very high-dimensional simulations

ACM Transactions on Modeling and Computer Simulation (TOMACS) - Special issue on uniform random number generation

Monto Carlo extension of quasi-Monte Carlo

Proceedings of the 30th conference on Winter simulation

Variance reduction of Monte Carlo and randomized quasi-Monte Carlo estimators for stochastic volatility models in finance

Proceedings of the 31st conference on Winter simulation: Simulation---a bridge to the future - Volume 1

On the Use of Quasi-Monte Carlo Methods in Computational Finance

ICCS '01 Proceedings of the International Conference on Computational Sciences-Part I

A Quasi-Monte Carlo Method for Integration with Improved Convergence

LSSC '01 Proceedings of the Third International Conference on Large-Scale Scientific Computing-Revised Papers

References

Sourcebook of parallel computing

Dimension-adaptive tensor-product quadrature

Computing

Multivariate quadrature on adaptive sparse grids

Computing

financial derivatives and real options: an empirical evaluation of sampling methods in risk analysis simulation: quasi-monte carlo, descriptive sampling, and Latin Hypercube sampling

Proceedings of the 34th conference on Winter simulation: exploring new frontiers

Modified noise for evaluation on graphics hardware

Proceedings of the ACM SIGGRAPH/EUROGRAPHICS conference on Graphics hardware

Probabilistically induced domain decomposition methods for elliptic boundary-value problems

Journal of Computational Physics

Numerical integration in logistic-normal models

Computational Statistics & Data Analysis

Bounds on structural system reliability in the presence of interval variables

Computers and Structures

Improving random test sets using the diversity oriented test data generation

Proceedings of the 2nd international workshop on Random testing: co-located with the 22nd IEEE/ACM International Conference on Automated Software Engineering (ASE 2007)

On scrambled Halton sequences

Applied Numerical Mathematics

Adaptive sparse polynomial chaos expansion based on least angle regression

Journal of Computational Physics

Computing Expectation Values for Molecular Quantum Dynamics

SIAM Journal on Scientific Computing

Computational investigation of low-discrepancy sequences in simulation algorithms for Bayesian networks

UAI'00 Proceedings of the Sixteenth conference on Uncertainty in artificial intelligence

Original article: Application of the Polynomial Chaos Expansion to the simulation of chemical reactors with uncertainties

Mathematics and Computers in Simulation

On the use of randomized low-discrepancy sequences in sampling-based motion planning

MICAI'05 Proceedings of the 4th Mexican international conference on Advances in Artificial Intelligence

Topology optimization considering material and geometric uncertainties using stochastic collocation methods

Structural and Multidisciplinary Optimization

Simulation-based optimal Bayesian experimental design for nonlinear systems

Journal of Computational Physics

Pricing and Hedging with Discontinuous Functions: Quasi--Monte Carlo Methods and Dimension Reduction

Management Science

Highly efficient numerical algorithm based on random trees for accelerating parallel Vlasov-Poisson simulations

Journal of Computational Physics

Diversity oriented test data generation using metaheuristic search techniques

Information Sciences: an International Journal