D. I. Asotskii, E. E. Myshetskaya, I. M. Sobol', “The average dimension of a multidimensional function for quasi-Monte Carlo estimates of an integral”, Zh. Vychisl. Mat. Mat. Fiz., 2006, Volume 46, Number 12,Pages <nobr>2159

This article is cited in 6 papers

The average dimension of a multidimensional function for quasi-Monte Carlo estimates of an integral

D. I. Asotskii, E. E. Myshetskaya, I. M. Sobol'

Institute for Mathematical Modeling, Russian Academy of Sciences, Miusskaya pl. 4a, Moscow, 125047, Russia

Abstract: The effective dimension of a multidimensional function was previously introduced to measure the complexity of the function with respect to the evaluation of an integral by quasi-Monte Carlo methods. For the same goal, the concept of the average dimension is introduced, which, in contrast to the effective dimension, is independent of an arbitrary confidence level.

Key words: quasi-Monte Carlo method, multidimensional integrals, sensitivity indices, ANOVA.

UDC: 519.676

Received: 26.05.2006