Efficiency of Quasi-Monte Carlo Algorithms for High Dimensional Integrals

Monte-Carlo and Quasi-Monte Carlo Methods 1998 ◽

10.1007/978-3-642-59657-5_7 ◽

2000 ◽

pp. 114-136 ◽

Author(s):

Henryk Woźniakowski

Keyword(s):

Monte Carlo ◽

High Dimensional ◽

Quasi Monte Carlo ◽

Monte Carlo Algorithms

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When Are Quasi-Monte Carlo Algorithms Efficient for High Dimensional Integrals?

Journal of Complexity ◽

10.1006/jcom.1997.0463 ◽

1998 ◽

Vol 14 (1) ◽

pp. 1-33 ◽

Author(s):

Ian H Sloan ◽

Henryk Woźniakowski

Keyword(s):

Monte Carlo ◽

High Dimensional ◽

Quasi Monte Carlo ◽

Monte Carlo Algorithms

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Correction to “Quasi-Monte Carlo methods for high-dimensional integration: the standard (weighted Hilbert space) setting and beyond”

ANZIAM Journal ◽

10.21914/anziamj.v54i0.6962 ◽

2013 ◽

Vol 54 ◽

pp. 216 ◽

Author(s):

F. Y. Kuo ◽

Ch. Schwab ◽

I. H. Sloan

Keyword(s):

Hilbert Space ◽

Monte Carlo ◽

Monte Carlo Methods ◽

High Dimensional ◽

Quasi Monte Carlo ◽

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The tent transformation can improve the convergence rate of quasi-Monte Carlo algorithms using digital nets

Numerische Mathematik ◽

10.1007/s00211-006-0046-x ◽

2006 ◽

Vol 105 (3) ◽

pp. 413-455 ◽

Author(s):

Ligia L. Cristea ◽

Josef Dick ◽

Gunther Leobacher ◽

Friedrich Pillichshammer

Keyword(s):

Monte Carlo ◽

Convergence Rate ◽

Quasi Monte Carlo ◽

Monte Carlo Algorithms ◽

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On global sensitivity analysis of quasi-Monte Carlo algorithms

Monte Carlo Methods and Applications ◽

10.1515/1569396054027274 ◽

2005 ◽

Vol 11 (1) ◽

Author(s):

I.M. Sobol´ ◽

S.S. Kucherenko

Keyword(s):

Sensitivity Analysis ◽

Monte Carlo ◽

Global Sensitivity Analysis ◽

Global Sensitivity ◽

Quasi Monte Carlo ◽

Monte Carlo Algorithms

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Pricing and Risk Management with High-Dimensional Quasi-Monte Carlo and Global Sensitivity Analysis

Wilmott ◽

10.1002/wilm.10434 ◽

2015 ◽

Vol 2015 (78) ◽

pp. 46-70 ◽

Author(s):

Marco Bianchetti ◽

Sergei Kucherenko ◽

Stefano Scoleri

Keyword(s):

Sensitivity Analysis ◽

Risk Management ◽

Monte Carlo ◽

Global Sensitivity Analysis ◽

High Dimensional ◽

Global Sensitivity ◽

Quasi Monte Carlo

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An Integrated Quasi-Monte Carlo Method for Handling High Dimensional Problems with Discontinuities in Financial Engineering

Computational Economics ◽

10.1007/s10614-020-09976-2 ◽

2020 ◽

Author(s):

Zhijian He ◽

Xiaoqun Wang

Keyword(s):

Monte Carlo ◽

Monte Carlo Method ◽

Financial Engineering ◽

High Dimensional ◽

Quasi Monte Carlo

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CORRECTION TO “QUASI-MONTE CARLO METHODS FOR HIGH-DIMENSIONAL INTEGRATION: THE STANDARD (WEIGHTED HILBERT SPACE) SETTING AND BEYOND”

The ANZIAM Journal ◽

10.1017/s1446181112000144 ◽

2012 ◽

Vol 53 (3) ◽

pp. 251-251

Author(s):

F. Y. KUO ◽

CH. SCHWAB ◽

I. H. SLOAN

Keyword(s):

Hilbert Space ◽

Monte Carlo ◽

Monte Carlo Methods ◽

High Dimensional ◽

Quasi Monte Carlo ◽

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

Mathematics and Computers in Simulation ◽

10.1016/s0378-4754(02)00228-8 ◽

2003 ◽

Vol 62 (3-6) ◽

pp. 255-263 ◽

Author(s):

I.M Sobol’ ◽

D.I Asotsky

Keyword(s):

Monte Carlo ◽

Monte Carlo Methods ◽

High Dimensional ◽

Quasi Monte Carlo

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Are Quasi-Monte Carlo algorithms efficient for two-stage stochastic programs?

Computational Optimization and Applications ◽

10.1007/s10589-016-9843-z ◽

2016 ◽

Vol 65 (3) ◽

pp. 567-603 ◽

Author(s):

H. Heitsch ◽

H. Leövey ◽

W. Römisch

Keyword(s):

Monte Carlo ◽

Two Stage ◽

Stochastic Programs ◽

Quasi Monte Carlo ◽

Monte Carlo Algorithms

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Quasi-Monte Carlo tractability of high dimensional integration over products of simplices

Journal of Complexity ◽

10.1016/j.jco.2015.06.003 ◽

2015 ◽

Vol 31 (6) ◽

pp. 817-834 ◽

Author(s):

Kinjal Basu

Keyword(s):

Monte Carlo ◽

High Dimensional ◽

Quasi Monte Carlo

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