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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 |
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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