Randomized Halton sequences

DOI10.1016/S0895-7177(00)00178-3zbMath0965.65005MaRDI QIDQ1591883

Fred J. Hickernell, Xiaoqun Wang

Publication date: 14 January 2001

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

zbMATH Keywords

convergencerandomizationerror boundquasi-Monte Carlo methodslow-discrepancy sequencesmultiple integralsHalton sequencesNeumann-Kakutani transformation

Mathematics Subject Classification ID

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

Related Items (31)

Good permutations for deterministic scrambled Halton sequences in terms of \(L_2\)-discrepancy ⋮ Random sampling from low-discrepancy sequences: applications to option pricing ⋮ The acceptance-rejection method for low-discrepancy sequences ⋮ The price of pessimism for multidimensional quadrature ⋮ Steps Toward Derandomizing RRTs ⋮ Comparison of randomization techniques for low-discrepancy sequences in finance ⋮ Quasi-random ranked set sampling ⋮ On variable and random shape Gaussian interpolations ⋮ Dependence properties of scrambled Halton sequences ⋮ A modification of balanced acceptance sampling ⋮ From van der Corput to modern constructions of sequences for quasi-Monte Carlo rules ⋮ On Sampling Methods for Costly Multi-Objective Black-Box Optimization ⋮ Alternative sampling methods for estimating multivariate normal probabilities ⋮ A low discrepancy sequence on graphs ⋮ On scrambled Halton sequences ⋮ Computation of the endogenous mortgage rates with randomized quasi-Monte Carlo simulations ⋮ Randomized quasi-Monte Carlo methods in pricing securities ⋮ Quasi-Monte Carlo sampling to improve the efficiency of Monte Carlo EM ⋮ Quasi-Monte Carlo methods with applications in finance ⋮ Error trends in quasi-Monte Carlo integration ⋮ Generalized von Neumann-Kakutani transformation and random-start scrambled Halton sequences ⋮ A multivariate fast discrete Walsh transform with an application to function interpolation ⋮ Parameterization based on randomized quasi-Monte Carlo methods ⋮ BAS: Balanced Acceptance Sampling of Natural Resources ⋮ A genetic algorithm approach to estimate lower bounds of the star discrepancy ⋮ A random features-based method for interpolating digital terrain models with high efficiency ⋮ Coverage-guided test generation for continuous and hybrid systems ⋮ On the optimal Halton sequence ⋮ Spatially balanced sampling with local ranking ⋮ Calculation of Discrepancy Measures and Applications ⋮ The effective dimension and quasi-Monte Carlo integration

Uses Software

• Algorithm 647

Cites Work

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• Quasi-Monte Carlo Methods for Numerical Integration: Comparison of Different Low Discrepancy Sequences
• On the distribution of points in a cube and the approximate evaluation of integrals

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