A Note on Multidimensional Sobol Sequences

4 Pages Posted: 7 Jun 2010 Last revised: 6 Jul 2010

Date Written: July 4, 2010

Abstract

This paper shows that, in certain high dimensional integration problems, quasi-Monte Carlo using Sobol sequences can never be more efficient than the ordinary Monte Carlo no matter how carefully the primitive polynomials and initialization numbers are chosen.

Keywords: Sobol sequence, Monte Carlo simulation

Suggested Citation

Zhu, Jun, A Note on Multidimensional Sobol Sequences (July 4, 2010). Available at SSRN: https://ssrn.com/abstract=1558186 or http://dx.doi.org/10.2139/ssrn.1558186

Jun Zhu (Contact Author)

FINCAD ( email )

1277 E. 55Th AVE
Vancouver, British Columbia V5X 1P1
Canada

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