Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9501387 | Journal of Complexity | 2005 | 12 Pages |
Abstract
We introduce a class of functions in high dimensions which have the maximum effective dimension, then prove that generalized Sobol' sequences provide the O(N-1) convergence rate for the integration of this class of functions. An important consequence is that high-dimensional problems for which quasi-Monte Carlo outperforms Monte Carlo are not necessarily of low-effective dimension.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
Shu Tezuka,