Variance reduction order using good lattice points in Monte Carlo methods

被引:6
|
作者
Tuffin, B [1 ]
机构
[1] Univ Rennes 1, Inst Math, F-35042 Rennes, France
关键词
Monte Carlo; quasi-Monte Carlo; numerical integration; lattice points;
D O I
10.1007/BF02684386
中图分类号
TP301 [理论、方法];
学科分类号
081202 ;
摘要
Quasi-Monte Carlo methods and lattice rules with good lattice points give rapidly "good" approximations for numerical integration, but the error estimation is intractable in practice. In the literature, a randomization of these methods, using a combination of Monte Carlo and quasi-Monte Carlo methods, has been done to obtain a confidence interval using the Central Limit Theorem. In this paper we show that for a special class of functions with small Fourier coefficients and using good lattice points, the decreasing of the variance of the combined estimator is faster than the usual one.
引用
收藏
页码:371 / 378
页数:8
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