1 code implementation • 2 Oct 2018 • Sergey Dolgov, Karim Anaya-Izquierdo, Colin Fox, Robert Scheichl
We find that the importance-weight corrected quasi-Monte Carlo quadrature performs best in all computed examples, and is orders-of-magnitude more efficient than DRAM across a wide range of approximation accuracies and sample sizes.
Numerical Analysis Probability Statistics Theory Statistics Theory 65D15, 65D32, 65C05, 65C40, 65C60, 62F15, 15A69, 15A23
