A Note on Multidimensional Sobol Sequences
4 Pages Posted: 7 Jun 2010 Last revised: 6 Jul 2010
Date Written: July 4, 2010
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
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