Quasi–monte Carlo Integration over R
نویسندگان
چکیده
In this paper we show that a wide class of integrals over Rd with a probability weight function can be evaluated using a quasi–Monte Carlo algorithm based on a proper decomposition of the domain Rd and arranging low discrepancy points over a series of hierarchical hypercubes. For certain classes of power/exponential decaying weights the algorithm is of optimal order.
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