Journal ArticleDOI
Algorithm 659: Implementing Sobol's quasirandom sequence generator
Paul Bratley,Bennett L. Fox +1 more
TLDR
It is compared empirically accuracy and speed of low-discrepancy sequence generators of Sobol' and Faure to find out which are more useful for multidimensional integration and global optimization.Abstract:
We compare empirically accuracy and speed of low-discrepancy sequence generators of Sobol' and Faure. These generators are useful for multidimensional integration and global optimization. We discuss our implementation of the Sobol' generator.read more
Citations
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Proceedings Article
Practical Bayesian Optimization of Machine Learning Algorithms
TL;DR: This work describes new algorithms that take into account the variable cost of learning algorithm experiments and that can leverage the presence of multiple cores for parallel experimentation and shows that these proposed algorithms improve on previous automatic procedures and can reach or surpass human expert-level optimization for many algorithms.
Journal ArticleDOI
Variance based sensitivity analysis of model output. Design and estimator for the total sensitivity index
Andrea Saltelli,Paola Annoni,Ivano Azzini,Francesca Campolongo,Marco Ratto,Stefano Tarantola +5 more
TL;DR: Existing and new practices for sensitivity analysis of model output are compared and recommendations on which to use are offered to help practitioners choose which techniques to use.
Journal ArticleDOI
Importance measures in global sensitivity analysis of nonlinear models
Toshimitsu Homma,Andrea Saltelli +1 more
TL;DR: In this paper, a new method of global sensitivity analysis of nonlinear models is proposed based on a measure of importance to calculate the fractional contribution of the input parameters to the variance of the model prediction.
Journal ArticleDOI
Quasi-random maximum simulated likelihood estimation of the mixed multinomial logit model
TL;DR: In this article, a quasi-random sequence for the estimation of the mixed multinomial logit model was proposed, which accommodates general patterns of competitiveness as well as heterogeneity across individuals in sensitivity to exogenous variables.
Journal ArticleDOI
CUBA: A Library for multidimensional numerical integration
TL;DR: The Cuba library provides new implementations of four general-purpose multidimensional integration algorithms: Vegas, Suave, Divonne, and Cuhre, which can integrate vector integrands and have very similar Fortran, C/C++, and Mathematica interfaces.
References
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Journal ArticleDOI
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Journal ArticleDOI
On the distribution of points in a cube and the approximate evaluation of integrals
Journal ArticleDOI
On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
TL;DR: In this paper, the efficiency of such an integration formula can be measured by considering how it fares when the indicator function of the hyperbrick is defined by an arbitrary point in the unit hypercube.