Abstract
Random orthogonal matrices are used to randomize integration methods for n-dimensional integrals over spherically symmetric integration regions. Currently available methods for the generation of random orthogonal matrices are reviewed, and some methods for the generation of quasi-random orthogonal matrices are proposed. These methods all have O(n 3) time complexity. Some new methods to generate both random and quasi-random orthogonal matrices will be described and analyzed. The new methods use products of butterfly matrices, and have time complexity O(log(n)n 2). The use of these methods will be illustrated with results from the numerical computation of high-dimensional integrals from a computational finance application.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
