One more experiment on estimating high-dimensional integrals by quasi-Monte Carlo methods

Authors:
I. M. Sobol;D. I. Asotsky
Affiliations:
Institute for Mathematical Modelling of the Russian Academy of Sciences, 4 Miusskaya Square, 125047 Moscow, Russia;Institute for Mathematical Modelling of the Russian Academy of Sciences, 4 Miusskaya Square, 125047 Moscow, Russia
Venue:
Mathematics and Computers in Simulation - Special issue: 3rd IMACS seminar on Monte Carlo methods - MCM 2001
Year:
2003

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Abstract

Integrands that depend on a large number of equally important variables are considered and conditions that make expedient quasi-Monte Carlo integrations are investigated for dimensions n ≤ 300.