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JOURNALS // Zhurnal Vychislitel'noi Matematiki i Matematicheskoi Fiziki // Archive

Zh. Vychisl. Mat. Mat. Fiz., 2005 Volume 45, Number 3, Pages 411–415 (Mi zvmmf682)

This article is cited in 2 papers

On sequences of points for the evaluation of improper integrals by quasi-Monte Carlo methods

D. I. Asotskii, I. M. Sobol'

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

Abstract: An integral of any bounded integrable function in an $n$-dimensional unit cube can be evaluated using the quasi-Monte Carlo method. However, if the integrand is unbounded at the origin, the integration points must not be very close to the singularity. The rate of approach of quasi-random points to the origin is numerically evaluated.

Key words: quasi-Monte Carlo method, improper integrals.

UDC: 519.644.2

Received: 25.06.2004
Revised: 01.11.2004


 English version:
Computational Mathematics and Mathematical Physics, 2005, 45:3, 394–398

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