ADVANCED STOCHASTIC METHODS FOR MULTIDIMENSIONAL INTEGRALS AND APPLICATIONS: ADVANCED STOCHASTIC METHODS FOR MULTIDIMENSIONAL INTEGRALS AND APPLICATIONS

Venelin  Todorov; Valerij  Dzhurov; Yuri  Dimitrov; Ilian  Tzvetkov

doi:10.46687/jsar.v20i1.300

Authors

Venelin Todorov Bulgarian Academy of Sciences, Institute of Mathematics and Informatics and Institute of Inormation and Communication Technologies: Sofia, BG
Valerij Dzhurov ROUSSE UNIVERSITY ”ANGEL KANCHEV”
Yuri Dimitrov UNIVERSITY OF FORESTRY, SOFIA, DEPARTMENT OF MATHEMATICS AND PHYSICS
Ilian Tzvetkov ROUSSE UNIVERSITY ”ANGEL KANCHEV”

DOI:

https://doi.org/10.46687/jsar.v20i1.300

Keywords:

Monte Carlo methods, multidimensional integrals, Faure sequence, Hammersley sequence, Fibonacci based lattice rule, applications

Abstract

The problem for accurate evaluation of multidimensional integrals related to different areas has been presented. A comprehensive experimental study based on Faure and Hammersley low discrepancy sequences and Fibonacci based lattice rule has been done. Our tests show that the quasi-Monte Carlo algorithms under consideration are efficient tool for computing multidimensional integrals. This will be important in order to obtain more reliable results in some applications.

Author Biographies

Venelin Todorov, Bulgarian Academy of Sciences, Institute of Mathematics and Informatics and Institute of Inormation and Communication Technologies: Sofia, BG

Bulgarian Academy of Sciences, Institute of Mathematics and Informatics and Institute of Inormation and Communication Technologies: Sofia, BG

https://orcid.org/0000-0001-7134-5901

Valerij Dzhurov, ROUSSE UNIVERSITY ”ANGEL KANCHEV”

ROUSSE UNIVERSITY ”ANGEL KANCHEV”

Yuri Dimitrov, UNIVERSITY OF FORESTRY, SOFIA, DEPARTMENT OF MATHEMATICS AND PHYSICS

UNIVERSITY OF FORESTRY, SOFIA, DEPARTMENT OF MATHEMATICS AND PHYSICS

Ilian Tzvetkov, ROUSSE UNIVERSITY ”ANGEL KANCHEV”

ROUSSE UNIVERSITY ”ANGEL KANCHEV”

ADVANCED STOCHASTIC METHODS FOR MULTIDIMENSIONAL INTEGRALS AND APPLICATIONS