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Activity Number: 369
Type: Contributed
Date/Time: Wednesday, August 6, 2008 : 8:30 AM to 10:20 AM
Sponsor: Section on Nonparametric Statistics
Abstract - #301626
Title: Adaptive Quasi-Monte Carlo Sampling: Construction and Applications
Author(s): Ben Haaland*+ and Zhiguang (Peter) Qian+
Companies: University of Wisconsin-Madison and University of Wisconsin-Madison
Address: , Madison, WI, 53719, Department of Statistics, Madison, WI, 53706,
Keywords: quasi-monte carlo ; space filling designs ; sequential designs ; nested designs ; computer experiments ; nets
Abstract:

Sequences of nested, extendable space filling designs are useful in statistics, computer science, and numerical analysis. Results for nesting and extending a class of designs with good uniformity properties, the (t,m,s)-nets and (t,s)-sequences, are presented. Applications and examples in numerical integration, design and modeling for computer experiments with multiple levels of accuracy and expense, and stochastic programming are given.

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Revised September, 2008