Error bounds for quasi-Monte Carlo integration with uniform point sets

被引：15
|
作者：
Niederreiter, H [1 ]
机构：
[1] Natl Univ Singapore, Dept Math, Singapore 117543, Singapore
来源：
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2003年 / 150卷 / 02期
关键词：
numerical integration; quasi-Monte Carlo method; uniform point set; star discrepancy;
D O I：
10.1016/S0377-0427(02)00665-9
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We establish new error bounds for quasi-Monte Carlo integration for node sets with a special kind of uniformity property. The methods of proving these error bounds work for arbitrary probability spaces. Only the bounds in terms of the modulus of continuity of the integand require also the structure of a metric space. (C) 2002 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：283 / 292
页数：10
相关论文
共 50 条
  • [41] Quasi-Monte Carlo algorithms for unbounded, weighted integration problems
    Hartinger, E
    Kainhofer, RF
    Tichy, RF
    [J]. JOURNAL OF COMPLEXITY, 2004, 20 (05) : 654 - 668
  • [42] Adaptive Quasi-Monte Carlo integration based on MISER and VEGAS
    Schürer, R
    [J]. MONTE CARLO AND QUASI-MONTE CARLO METHODS 2002, 2004, : 393 - 406
  • [43] Langevin Quasi-Monte Carlo
    Liu, Sifan
    [J]. ADVANCES IN NEURAL INFORMATION PROCESSING SYSTEMS 36 (NEURIPS 2023), 2023,
  • [44] Quasi-Monte Carlo Software
    Choi, Sou-Cheng T.
    Hickernell, Fred J.
    Jagadeeswaran, Rathinavel
    McCourt, Michael J.
    Sorokin, Aleksei G.
    [J]. MONTE CARLO AND QUASI-MONTE CARLO METHODS, MCQMC 2020, 2022, 387 : 23 - 47
  • [45] Population Quasi-Monte Carlo
    Huang, Chaofan
    Joseph, V. Roshan
    Mak, Simon
    [J]. JOURNAL OF COMPUTATIONAL AND GRAPHICAL STATISTICS, 2022, 31 (03) : 695 - 708
  • [46] On quasi-Monte Carlo integrations
    Sobol, IM
    [J]. MATHEMATICS AND COMPUTERS IN SIMULATION, 1998, 47 (2-5) : 103 - 112
  • [47] Quasi-Monte Carlo integration using digital nets with antithetics
    Goda, Takashi
    [J]. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2016, 304 : 26 - 42
  • [48] Density Estimation by Monte Carlo and Quasi-Monte Carlo
    L'Ecuyer, Pierre
    Puchhammer, Florian
    [J]. MONTE CARLO AND QUASI-MONTE CARLO METHODS, MCQMC 2020, 2022, 387 : 3 - 21
  • [49] Quasi-Monte Carlo for integrands with point singularities at unknown locations
    Owen, AB
    [J]. Monte Carlo and Quasi-Monte Carlo Methods 2004, 2006, : 403 - 417
  • [50] On Monte Carlo and Quasi-Monte Carlo for Matrix Computations
    Alexandrov, Vassil
    Davila, Diego
    Esquivel-Flores, Oscar
    Karaivanova, Aneta
    Gurov, Todor
    Atanassov, Emanouil
    [J]. LARGE-SCALE SCIENTIFIC COMPUTING, LSSC 2017, 2018, 10665 : 249 - 257
12345