2010
DOI: 10.1007/s12145-010-0069-9
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Quasi-Monte Carlo integration on the grid for sensitivity studies

Abstract: In this paper we present error and performance analysis of quasi-Monte Carlo algorithms for solving multidimensional integrals (up to 100 dimensions) on the grid using MPI. We take into account the fact that the Grid is a potentially heterogeneous computing environment, where the user does not know the specifics of the target architecture. Therefore parallel algorithms should be able to adapt to this heterogeneity, providing automated load-balancing. Monte Carlo algorithms can be tailored to such environments,… Show more

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Cited by 7 publications
(1 citation statement)
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“…QMC requires a choice regarding input of a low‐discrepancy sequence (the discrepancy of a sequence is low if the proportion of points in the sequence falling into an arbitrary set is close to the proportion measure of the set). We thereby select the Sobol sequences [ Sobol , 1967], which are widely acknowledged to perform well for problems with greater than six dimensions, and avoid degradation effects observed in many other low‐discrepancy sequences [ Atanassov et al , 2010; Sobol and Shukhman , 2007; Wang and Sloan , 2008].…”
Section: Methodology and Site Informationmentioning
confidence: 99%
“…QMC requires a choice regarding input of a low‐discrepancy sequence (the discrepancy of a sequence is low if the proportion of points in the sequence falling into an arbitrary set is close to the proportion measure of the set). We thereby select the Sobol sequences [ Sobol , 1967], which are widely acknowledged to perform well for problems with greater than six dimensions, and avoid degradation effects observed in many other low‐discrepancy sequences [ Atanassov et al , 2010; Sobol and Shukhman , 2007; Wang and Sloan , 2008].…”
Section: Methodology and Site Informationmentioning
confidence: 99%