Decrease of the mean of the quasi-random integration error

Sergei M. Ermakov, Svetlana N. Leora

Результат исследований: Научные публикации в периодических изданияхстатья


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.

Язык оригиналаанглийский
ЖурналCommunications in Statistics Part B: Simulation and Computation
Ранняя дата в режиме онлайн19 июн 2019
СостояниеОпубликовано - 2019

Предметные области Scopus

  • Теория вероятности и статистика
  • Моделирование и симуляция

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