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 contributionУменьшение среднего значения квазислучайной ошибки интегрирования
Original languageEnglish
Pages (from-to)3581-3589
Number of pages9
JournalCommunications in Statistics Part B: Simulation and Computation
Volume50
Issue number11
Early online date19 Jun 2019
DOIs
StatePublished - 2019

    Research areas

  • Quasi-Monte Carlo method, Quasi-random sequences, Randomization

    Scopus subject areas

  • Statistics and Probability
  • Modelling and Simulation

ID: 45688923