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Quasi-Monte Carlo integration over 
Author(s):
Peter
Mathé;
Gang
Wei.
Journal:
Math. Comp.
73
(2004),
827-841.
MSC (2000):
Primary 65C05;
Secondary 68Q25
Posted:
August 7, 2003
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Abstract:
In this paper we show that a wide class of integrals over  with a probability weight function can be evaluated using a quasi-Monte Carlo algorithm based on a proper decomposition of the domain  and arranging low discrepancy points over a series of hierarchical hypercubes. For certain classes of power/exponential decaying weights the algorithm is of optimal order.
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Additional Information:
Peter
Mathé
Affiliation:
Weierstraß Institute for Applied Analysis and Stochastics, Mohrenstraße 39, D-10117 Berlin, Germany
Email:
mathe@wias-berlin.de
Gang
Wei
Affiliation:
Department of Mathematics, Hong Kong Baptist University, Kowloon, Hong Kong
Email:
gwei@math.hkbu.edu.hk
DOI:
10.1090/S0025-5718-03-01569-2
PII:
S 0025-5718(03)01569-2
Keywords:
Quasi--Monte Carlo integration,
elliptically contoured distributions
Received by editor(s):
June 11, 2002
Received by editor(s) in revised form:
October 10, 2002
Posted:
August 7, 2003
Copyright of article:
Copyright
2003,
American Mathematical Society
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