کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1137564 1489187 2008 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
On the use of dimension reduction techniques in quasi-Monte Carlo methods
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
On the use of dimension reduction techniques in quasi-Monte Carlo methods
چکیده انگلیسی

It is known that dimension reduction techniques may improve the efficiency of quasi-Monte Carlo (QMC) methods. Different dimension reduction techniques may lead to different efficiencies, even if the nominal dimensions are equal and the same quasi-random sequences are used. To explain this, the degree of additivity and the truncation variance ratio are studied in this paper. Three dimension reduction techniques are compared: Brownian bridge (BB), optimal Brownian bridge (OBB) and principal component analysis (PCA), in which OBB provides a new generating order so that it improves BB. Numerical experiments are performed to compare the efficiency of QMC and Latin hypercube sampling (LHS) combined with different dimension reduction techniques. The importance of the dimension reduction techniques in QMC and the usefulness of the degree of additivity and the truncation variance ratio in characterizing the performance of QMC are confirmed.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematical and Computer Modelling - Volume 48, Issues 11–12, December 2008, Pages 1925–1937
نویسندگان
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