منابع مشابه
Monte Carlo and quasi-Monte Carlo methods
Monte Carlo is one of the most versatile and widely used numerical methods. Its convergence rate, O(N~^), is independent of dimension, which shows Monte Carlo to be very robust but also slow. This article presents an introduction to Monte Carlo methods for integration problems, including convergence theory, sampling methods and variance reduction techniques. Accelerated convergence for Monte Ca...
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We consider the problem of numerical integration in dimension s, with eventually large s; the usual rules need a very huge number of nodes with increasing dimension to obtain some accuracy, say an error bound less than 10−2; this phenomenon is called ”the curse of dimensionality”; to overcome it, two kind of methods have been developped: the so-called Monte-Carlo and Quasi-Monte-Carlo methods. ...
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We present an asynchronous algorithm based on Quasi-Monte Carlo methods for the computation of multivari-ate integrals. Randomized Korobov and Richtmyer sequences are applied for problems of moderately high to high dimensions. We propose the use of Sobol rules in those dimensions where the integrand shows particular singular behavior. Timing results on MPI yield good speedup.
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This paper surveys recent research on using Monte Carlo techniques to improve quasi-Monte Carlo techniques. Randomized quasi-Monte Carlo methods provide a basis for error estimation. They have, in the special case of scrambled nets, also been observed to improve accuracy. Finally through Latin supercube sampling it is possible to use Monte Carlo methods to extend quasi-Monte Carlo methods to hi...
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While the Quasi-Monte Carlo method of numerical integration achieves smaller integration error than standard Monte Carlo, its use in particle physics phenomenology has been hindered by the abscence of a reliable way to estimate that error. The standard Monte Carlo error estimator relies on the assumption that the points are generated independently of each other and, therefore, fails to account ...
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ژورنال
عنوان ژورنال: Acta Numerica
سال: 1998
ISSN: 0962-4929,1474-0508
DOI: 10.1017/s0962492900002804