Monte Carlo and Quasi-Monte Carlo Methods.

Caflisch, R. E. (1998). Monte Carlo and Quasi-Monte Carlo Methods. Acta Numerica, 7, 1-49.

Type

Journal article

Intellectual base

Primary research

Year

1998

DOI

10.1017/s0962492900002804

Link

https://doi.org/10.1017/S0962492900002804

Cited from

data_science

Cited by

2 citations across 2 artifacts.

Each citation links to the sentence it supports in the citing article.

Primes

• Curse Of Dimensionality
  • In numerical analysis, deterministic quadrature scales exponentially in dimension, which is precisely why Monte Carlo and quasi-Monte Carlo methods exist.

    This sourceExplains the exponential cost of deterministic quadrature in dimension and why Monte Carlo and quasi-Monte Carlo methods escape it.

Domain-specific

• Monte Carlo integration
  • Monte Carlo integration rewrites an integral as an expectation under a chosen sampling distribution and estimates it with a sample average, often using importance, stratified, or quasi-random variants.

Verification

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