Monte Carlo simulation for numerical integration based on antithetic variance reduction and Halton's sequences

被引：0
|
作者：
Mehrdoust, Farshid [1 ]
机构：
[1] Univ Guilan Rasht, Fac Math Sci, Dept Appl Math, Rasht, Iran
来源：
JOURNAL OF MATHEMATICS AND COMPUTER SCIENCE-JMCS | 2012年 / 4卷 / 01期
关键词：
Monte Carlo simulation; Multidimensional integration; Antithetic ariance reduction; Halton's sequences;
D O I：
暂无
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
Many applications, for instance in finance and in physics, require the calculation of high dimensional integrals. The Monte Carlo and quasi Monte Carlo methods are frequently used to approximate them. In this paper, we propose a new quasi Monte Carlo algorithm based on antithetic variance reduction and Halton's sequences for numerical integration. Efficiency of the new algorithm compared to the standard Monte Carlo algorithm is shown using example.
引用
收藏
页码：48 / 52
页数：5
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