Fast orthogonal transforms for multi-level quasi-Monte Carlo integration
Numerical Analysis
2015-08-11 v1 Probability
Abstract
We combine a generic method for finding fast orthogonal transforms for a given quasi-Monte Carlo integration problem with the multilevel Monte Carlo method. It is shown by example that this combined method can vastly improve the efficiency of quasi-Monte Carlo.
Cite
@article{arxiv.1508.02162,
title = {Fast orthogonal transforms for multi-level quasi-Monte Carlo integration},
author = {Christian Irrgeher and Gunther Leobacher},
journal= {arXiv preprint arXiv:1508.02162},
year = {2015}
}