ADVANCED STOCHASTIC METHODS FOR MULTIDIMENSIONAL INTEGRALS AND APPLICATIONS
ADVANCED STOCHASTIC METHODS FOR MULTIDIMENSIONAL INTEGRALS AND APPLICATIONS
DOI:
https://doi.org/10.46687/jsar.v20i1.300Keywords:
Monte Carlo methods, multidimensional integrals, Faure sequence, Hammersley sequence, Fibonacci based lattice rule, applicationsAbstract
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.
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