• Anton A. Antonov
  • Sergej M. Ermakov
We establish and examine the deep connection between highly stratified random cubature formulas and quasi-Monte Carlo methods. A class of such formulas, designed to exactly integrate the introduced generalized s-dimensional Haar system, is shown to have additional variance reduction compared to the known theoretical upper bound. We propose several equivalent expressions for the variance within the standard quasi-Monte Carlo setting. The theory of random cubatures is supplemented with both refined versions of known results and completely new facts.
Язык оригиналаанглийский
Страницы (с-по)179–187
ЖурналMonte Carlo Methods and Applications
Том21
Номер выпуска3
СостояниеОпубликовано - 2015

ID: 5795155