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Abstract
A family of d-dimensional functions is introduced. It includes the test functions that in [Monte Carlo Methods Appl. 20 (2014), no. 3, 167–171] demonstrate the efficiency of certain quasi-Monte Carlo integrations. The average dimensions of these d-dimensional functions converge as d → ∞.
Keywords: Quasi-Monte Carlo; high-dimensional integrals; average dimension; Owen's formula; sensitivity index
MSC: 11K45
Received: 2014-12-21
Accepted: 2015-4-22
Published Online: 2015-5-5
Published in Print: 2015-6-1
© 2015 by De Gruyter
