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math.NA2025
High-Dimensional Quasi-Monte Carlo via Combinatorial Discrepancy
Jiaheng Chen, Haotian Jiang, Nathan Kirk
Monte Carlo (MC) and Quasi-Monte Carlo (QMC) methods are classical approaches for the numerical integration of functions over . While QMC methods can achieve faster co…
math.NA2025
Quasi-Monte Carlo Methods: What, Why, and How?
Fred J. Hickernell, Nathan Kirk, Aleksei G. Sorokin
Many questions in quantitative finance, uncertainty quantification, and other disciplines are answered by computing the population mean, , where instances of $Y…