article

Quasi-random methods for estimating integrals using relatively small samples

Authors:

Jerome Spanier,

Earl H. MaizeAuthors Info & Claims

SIAM Review, Volume 36, Issue 1

Pages 18 - 44

https://doi.org/10.1137/1036002

Published: 01 March 1994 Publication History

Abstract

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Bitterli BWyman CPharr MShirley PLefohn AJarosz W(2020)Spatiotemporal reservoir resampling for real-time ray tracing with dynamic direct lightingACM Transactions on Graphics10.1145/3386569.339248139:4(148:1-148:17)Online publication date: 12-Aug-2020
https://dl.acm.org/doi/10.1145/3386569.3392481
Afacan EBerkol GDundar GPusane ABaskaya F(2016)An analog circuit synthesis tool based on efficient and reliable yield estimationMicroelectronics Journal10.1016/j.mejo.2016.05.00254:C(14-22)Online publication date: 1-Aug-2016
https://dl.acm.org/doi/10.1016/j.mejo.2016.05.002
Goda T(2016)Quasi-Monte Carlo integration using digital nets with antitheticsJournal of Computational and Applied Mathematics10.1016/j.cam.2016.02.048304:C(26-42)Online publication date: 1-Oct-2016
https://dl.acm.org/doi/10.1016/j.cam.2016.02.048
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Index Terms

Quasi-random methods for estimating integrals using relatively small samples
1. Mathematics of computing
  1. Mathematical analysis
    1. Integral equations
  2. Probability and statistics

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Abstract
There are iterative Monte Carlo (MC) methods that can be used for estimating the extreme eigenvalues of large dimensional matrices. The Power MC method allows for finding the approximate maximum eigenvalue of the considered matrix. In the case ...

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Published In

SIAM Review Volume 36, Issue 1

March 1994

106 pages

ISSN:0036-1445

Editor:
R. Sincovec
Oak Ridge National Laboratory, Oak Ridge, TN

Issue’s Table of Contents

Publisher

Society for Industrial and Applied Mathematics

United States

Publication History

Published: 01 March 1994

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Bitterli BWyman CPharr MShirley PLefohn AJarosz W(2020)Spatiotemporal reservoir resampling for real-time ray tracing with dynamic direct lightingACM Transactions on Graphics10.1145/3386569.339248139:4(148:1-148:17)Online publication date: 12-Aug-2020
https://dl.acm.org/doi/10.1145/3386569.3392481
Afacan EBerkol GDundar GPusane ABaskaya F(2016)An analog circuit synthesis tool based on efficient and reliable yield estimationMicroelectronics Journal10.1016/j.mejo.2016.05.00254:C(14-22)Online publication date: 1-Aug-2016
https://dl.acm.org/doi/10.1016/j.mejo.2016.05.002
Goda T(2016)Quasi-Monte Carlo integration using digital nets with antitheticsJournal of Computational and Applied Mathematics10.1016/j.cam.2016.02.048304:C(26-42)Online publication date: 1-Oct-2016
https://dl.acm.org/doi/10.1016/j.cam.2016.02.048
Keeler HTaylor P(2011)A model framework for greedy routing in a sensor network with a stochastic power schemeACM Transactions on Sensor Networks10.1145/1921621.19216287:4(1-28)Online publication date: 4-Feb-2011
https://dl.acm.org/doi/10.1145/1921621.1921628
Boyle PBroadie MGlasserman PTew J(2007)Recent advances in simulation for security pricing (1995)Proceedings of the 39th conference on Winter simulation: 40 years! The best is yet to come10.5555/1351542.1352010(1-8)Online publication date: 9-Dec-2007
https://dl.acm.org/doi/10.5555/1351542.1352010
Chi HJones ENicol DFujimoto R(2006)Computational investigations of quasirandom sequences in generating test cases for specification-based testsProceedings of the 38th conference on Winter simulation10.5555/1218112.1218291(975-980)Online publication date: 3-Dec-2006
https://dl.acm.org/doi/10.5555/1218112.1218291
Galperin EGalperin I(2006)Small sample uniformity in random number generationComputers & Mathematics with Applications10.1016/j.camwa.2006.08.00752:1-2(95-108)Online publication date: 1-Jul-2006
https://dl.acm.org/doi/10.1016/j.camwa.2006.08.007
Chi HJones EEvans DBrown M(2006)Generating test data for specification-based tests via quasirandom sequencesProceedings of the 6th international conference on Computational Science - Volume Part IV10.1007/11758549_104(773-780)Online publication date: 28-May-2006
https://dl.acm.org/doi/10.1007/11758549_104
L'Ecuyer PFerrin DMorrice D(2003)Quasi-Monte Carlo methods for simulationProceedings of the 35th conference on Winter simulation: driving innovation10.5555/1030818.1030832(81-89)Online publication date: 7-Dec-2003
https://dl.acm.org/doi/10.5555/1030818.1030832
Lemieux CL'Ecuyer P(2003)Randomized Polynomial Lattice Rules for Multivariate Integration and SimulationSIAM Journal on Scientific Computing10.1137/S106482750139378224:5(1768-1789)Online publication date: 1-Jan-2003
https://dl.acm.org/doi/10.1137/S1064827501393782
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Recommendations

One more experiment on estimating high-dimensional integrals by quasi-Monte Carlo methods

Time Series Simulation with Randomized Quasi-Monte Carlo Methods: An Application to Value at Risk and Expected Shortfall

A Resolvent Quasi-Monte Carlo Method for Estimating the Minimum Eigenvalues Using the Error Balancing

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