In this paper we show that it is possible to extend the use of quasi-Monte Carlo for applications of high effective dimension. This is achieved through a combination of a careful construction of the Sobol sequence and an appropriately chosen decomposition of a covariance matrix. The effectiveness of this procedure is demonstrated as we price average options with nominal dimensions ranging up to...

CYTOTOXICITY* Anbarasi Kothandapani, Venkata Srinivas Mohan Nimai Dangeti, Ashley R. Brown, Lauren A. Banze, Xiao-Hong Wang, Robert W. Sobol and Steve M. Patrick 1. Department of Biochemistry and Cancer Biology, University of Toledo – Health Science Campus, Toledo, OH 43614 2. Department of Pharmacology & Chemical Biology, University of Pittsburgh School of Medicine, Pittsburg, PA 15213 3. Univ...

This study compares the performances of two sampling-based strategies for simultaneous estimation first- and total-order variance-based sensitivity indices (a.k.a. Sobol’ indices). The first strategy corresponds to current approach employed by practitioners recommended in literature. second one was only recently introduced last authors present article. Both rely on different estimators indices....

We propose a method for fast face localisation and verification (identification) based on a robust form of correlation. Geometric and photometric normalisation of face images is achieved by direct minimisation. During optimisation, the correlation is estimated from a set of samples drawn from a Sobol sequence. This Monte-Carlo technique speeds the evaluation of correlation approximately twenty ...

We extend Atanassov’s methods for Halton sequences in two different directions: (1) in the direction of Niederreiter (t,s)−sequences, (2) in the direction of generating matrices for Halton sequences. It is quite remarkable that Atanassov’s method for classical Halton sequences applies almost “word for word” to (t,s)−sequences and gives an upper bound quite comparable to those of Sobol’, Faure a...

Valérie Bonadona, MD, PhD Bernard Bonaı̈ti, MSc Sylviane Olschwang, MD, PhD Sophie Grandjouan, MD Laetitia Huiart, MD Michel Longy, MD, PhD Rosine Guimbaud, MD Bruno Buecher, MD, PhD Yves-Jean Bignon, MD, PhD Olivier Caron, MD Chrystelle Colas, MD Catherine Noguès, MD Sophie Lejeune-Dumoulin, MD Laurence Olivier-Faivre, MD, PhD Florence Polycarpe-Osaer, MD Tan Dat Nguyen, MD Françoise Desseigne,...

Traditional rejection/reduction tests used in branch-and-prune methods for nonlinear systems usually are based on various forms of the interval Newton operator and constraint propagation techniques. Hence, they are relatively costly. This paper considers an additional phase of a branchand-prune method for the exclusion of regions not containing any solutions. Low-discrepancy sequences of Sobol ...

This paper compares the performance, in terms of convergence rates and precision of the estimates, for six Monte Carlo Simulation sampling methods: Quasi-Monte Carlo using Halton, Sobol, and Faure numeric sequences; Descriptive Sampling, based on the use of deterministic sets and Latin Hypercube Sampling, based on stratified numerical sets. Those methods are compared to the classical Monte Carl...