One more experiment on estimating high-dimensional integrals by quasi-Monte Carlo methods

Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates

I. M. Sobol · Mathematics and Computers in Simulation · 2001 · 6.1K citations

Business, Biostatistics, Mathematics +15

Random Number Generation and Quasi-Monte Carlo Methods.

Bruce Jay Collings, Harald Niederreiter · Journal of the American Statistical Association · 1993 · 3K citations

Computing, Computer Science, Algorithms +16

On the distribution of points in a cube and the approximate evaluation of integrals

I. M. Sobol · USSR Computational Mathematics and Mathematical Physics · 1967 · 2.9K citations

Computing, Computer Science, Computational Geometry +11

Efficient input—output model representations

Herschel Rabitz, Ömer F. Alış, Jeffrey A. Shorter et al. · Computer Physics Communications · 1999 · 458 citations

Computing, Computer Science, Knowledge Representation +8

Faster Valuation of Financial Derivatives

Spassimir H. Paskov, J. F. Traub · The Journal of Portfolio Management · 1995 · 370 citations

Computing, Computer Science, Finance +14