A NUMERICAL STUDY ON QUASI MONTE CARLO METHODS BASED ON RANDOMLY SHIFTED LATTICE RULE FOR COMPUTATION OF MULTIPLE INTEGRALS
A NUMERICAL STUDY ON QUASI MONTE CARLO METHODS BASED ON RANDOMLY SHIFTED LATTICE RULE FOR COMPUTATION OF MULTIPLE INTEGRALS
DOI:
https://doi.org/10.46687/jsar.v13i1.234Keywords:
Quasi-Monte Carlo sequences, multidimensional integrals, randomly shifted lattice rules, Fibonacci lattice ruleAbstract
A comprehensive numerical study between randomly shifted lattice rules and Fibonacci based lattice rule for computing multidimensional integrals has been done. The methods have not been compared before and both are recommended in case of smooth integrands. The two stochastic methods are completely different thus it is not trivial of which one of them outperforms the other. We consider a case study with smooth integrand functions of different dimensions.
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
Valentin Dimitrov, "Angel Kanchev" University of Ruse
"Angel Kanchev" University of Ruse
Iliyn Tsvetkov, "Angel Kanchev" University of Ruse
"Angel Kanchev" University of Ruse
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