You are here: Home :: Area NEM :: Mathematics

I.M. Sobol, S.S. Kucherenko

On global sensitivity analysis of quasi-Monte Carlo algorithms

Keywords: Monte Carlo, Quasi-Monte Carlo, Global sensitivity analysis, Brownian bridge

Different Quasi-Monte Carlo algorithms corresponding to the same Monte Carlo algorithm are considered. Even in the case when their constructive dimensions are equal and the same quasi-random points are used, the efficiencies of these algorithms may differ. Global sensitivity analysis provides an insight into this situation. As a model problem two well-known approximations of a Wiener integral are considered: the standard one and the Brownian bridge. The advantage of the Brownian bridge is confirmed.

Monte Carlo Methods and Applications, Walter de Gruyter

Print ISSN: 0929-9629
Volume: 11, 03/2005
Pages: 83 - 92

Show full article (external site)

Show all available items of this journal

 

Area NEM