Quasi-Monte Carlo algorithms for unbounded, weighted integration problems
نویسندگان
چکیده
منابع مشابه
Quasi-Monte Carlo algorithms for unbounded, weighted integration problems
In this article we investigate Quasi-Monte Carlo methods for multidimensional improper integrals with respect to a measure other than the uniform distribution. Additionally, the integrand is allowed to be unbounded at the lower boundary of the integration domain. We establish convergence of the Quasi-Monte Carlo estimator to the value of the improper integral under conditions involving both the...
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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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ژورنال
عنوان ژورنال: Journal of Complexity
سال: 2004
ISSN: 0885-064X
DOI: 10.1016/j.jco.2003.11.006