Error reduction techniques in quasi-Monte Carlo integration

Authors
Okten, G
Citation
G. Okten, Error reduction techniques in quasi-Monte Carlo integration, MATH COMP M, 30(7-8), 1999, pp. 61-69
Citations number
9
Categorie Soggetti
Engineering Mathematics
Journal title
MATHEMATICAL AND COMPUTER MODELLING
ISSN journal
08957177 → ACNP
Volume
30
Issue
7-8
Year of publication
1999
Pages
61 - 69
Database
ISI
SICI code
0895-7177(199910)30:7-8<61:ERTIQC>2.0.ZU;2-Z
Abstract
A generalized quasi-Monte Carlo integration rule is introduced. A Koksma-Hl awka type inequality for the rule is proved, using a recently introduced co ncept "bounded variation in the measure sense". Error reduction techniques and, in particular, "importance sampling" are studied as the consequences o f the integration rule. (C) 1999 Elsevier Science Ltd. All rights reserved.