Quasi-Monte Carlo integration: periodic and nonperiodic

Monte Carlo integration, or “integration by darts,” is a general method for evaluating high-dimensional integrals. Unfortunately it’s slow. This motivated the search for methods that are like Monte Carlo integration but that converge faster. Quasi-Monte Carlo (QMC) methods use low discrepancy sequences that explore a space more efficiently than random samples. These sequences are deterministic […] The post Quasi-Monte Carlo integration: periodic and nonperiodic first appeared on John D. Cook....

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