Evaluating the Quasi-monte Carlo Method for Discontinuous Integrands
نویسندگان
چکیده
The Monte Carlo method is an important numerical simulation tool in many applied fields such as economics, finance, statistical physics, and optimization. One of the most useful aspects of this method is in numerical integration of higher dimensions. For integrals of higher dimensions, the common numerical methods such as Simpson’s method, fail because the total number of grid points needed to evaluate the integrand can easily exceed the capacity of the current fastest computers. Assume that the domain of an integral is the unit hypercube [0, 1]. The Monte Carlo method uses the average value of the integrand over a random sequence as an approximate value of the integral. ∫
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