Asynchronous Quasi-monte Carlo Methods
نویسندگان
چکیده
We present an asynchronous algorithm based on Quasi-Monte Carlo methods for the computation of multivari-ate integrals. Randomized Korobov and Richtmyer sequences are applied for problems of moderately high to high dimensions. We propose the use of Sobol rules in those dimensions where the integrand shows particular singular behavior. Timing results on MPI yield good speedup.
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تاریخ انتشار 2000