کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
503189 863748 2012 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Effective discrepancy and numerical experiments
موضوعات مرتبط
مهندسی و علوم پایه شیمی شیمی تئوریک و عملی
پیش نمایش صفحه اول مقاله
Effective discrepancy and numerical experiments
چکیده انگلیسی

Many problems require the computation of a high dimensional integral, typically with a few tens of input factors, with a low number of integrand evaluations. To avoid the curse of dimensionality, we reduce the dimension before applying the Quasi-Monte Carlo method. We will show how to reduce the dimension by computing approximate Sobol indices of the variables with a two-levels fractional factorial design. Then, we will use the Sobol indices to define the effective discrepancy, which turns out to be correlated with the QMC error and thus enables one to choose a good sequence for the integral estimation.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computer Physics Communications - Volume 183, Issue 12, December 2012, Pages 2535–2541
نویسندگان
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