Monte Carlo integration with quasi-random numbers: Some experience

DOI10.1016/0010-4655(91)90064-RzbMath0997.65522MaRDI QIDQ1366032

Michael Berblinger, Christoph Schlier

Publication date: 11 November 1997

Published in: Computer Physics Communications (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo integrationmultidimensional integrationquasi-random numbers

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32)

Related Items (10)

Fast, portable, and reliable algorithm for the calculation of Halton numbers ⋮ Discrepancy behaviour in the non-asymptotic regime ⋮ Smoothness and dimension reduction in quasi-Monte Carlo methods ⋮ On scrambled Halton sequences ⋮ Error trends in quasi-Monte Carlo integration ⋮ Atomic and molecular calculations using quasirandom numbers ⋮ On the Warnock-Halton quasi-standard error ⋮ Discrepancy-based error estimates for quasi-Monte Carlo. I: General formalism ⋮ Monte Carlo integration with quasi-random numbers: Experience with discontinuous integrands ⋮ Multidimensional sampling for simulation and integration: Measures, discrepancies, and quasi-random numbers

Uses Software

• TOMS659
• PSEUDORAN
• rhalton
• Algorithm 247

Cites Work

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• On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
• A comparative study of pseudo and quasi random sequences for the solution of integral equations
• Low-discrepancy and low-dispersion sequences
• An improved low-discrepancy sequence for multidimensional quasi-Monte Carlo integration
• A review of pseudorandom number generators
• Algorithm 659
• Discrépance de suites associées à un système de numération (en dimension s)
• Quasi-Monte Carlo methods and pseudo-random numbers
• RANDOM NUMBERS FALL MAINLY IN THE PLANES

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