Quasi-Monte Carlo: A High-Dimensional Experiment

MONTE CARLO METHODS AND APPLICATIONS（2014）

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摘要

Certain very high-dimensional integrals can be efficiently approximated by quasi-Monte Carlo (q-MC) methods. If the average dimension of the integrand is small, the convergence rate can be near to 1/N, where N is the sample size.

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关键词

Quasi-Monte Carlo, Sobol sequences, high-dimensional integration, average dimension, mean dimension

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