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The article is devoted to the study of the behavior of the quasi-random integration remainder in the calculation of high-dimensional integrals. As noted in the previous work of the authors, the asymptotic behavior of its decrease, determined by the Koksma-Hlawka inequality, can be used only with a very large number of integration nodes N, which cannot be implemented on modern computers. The article introduces the concept of a mean order of decreasing remainder, which makes it possible to judge its properties with the N values available for realization and to compare various pseudo-random sequences. A number of numerical examples are given. In all cases, it turned out that the Sobol’ sequences in the sense of this criterion are somewhat better than the Holton sequences.
| Translated title of the contribution | Уменьшение среднего значения квазислучайной ошибки интегрирования |
|---|---|
| Original language | English |
| Pages (from-to) | 3581-3589 |
| Number of pages | 9 |
| Journal | Communications in Statistics Part B: Simulation and Computation |
| Volume | 50 |
| Issue number | 11 |
| Early online date | 19 Jun 2019 |
| DOIs | |
| State | Published - 2019 |
ID: 45688923