Virtual Library of Simulation Experiments:

Integration Test Problems

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Morokoff & Caflisch (1995) Function 2

Description:

Dimensions: d

The exact value of the integral with this function as an integrand is easily found, and the variance and variation are easily obtained, because the function is formed from the products of one-dimensional functions.

Input Domain:

The function is integrated over x_i ∈ [0, 1], for all i = 1, …, d.

Code:

References:

Morokoff, W. J., & Caflisch, R. E. (1995). Quasi-monte carlo integration. Journal of computational physics, 122(2), 218-230.

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For questions or comments, please email Derek Bingham at: dbingham@stat.sfu.ca.