Quasi-random integration in high dimensi
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George Takhtamyshev; Bart Vandewoestyne; Ronald Cools
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Article
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2007
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Elsevier Science
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English
β 696 KB
In this paper, we show that the Sobol' and Richtmyer sequences can be effectively used for numerical integration of functions having up to 1000 variables. The results of integration obtained with the two sequences are compared and the parameters C and Ξ± from the convergence model C/N Ξ± are estimated