Algorithm 823

DOI10.1145/779359.779360zbMath1068.11049OpenAlexW1965102867WikidataQ113309753 ScholiaQ113309753MaRDI QIDQ5461052

Fred J. Hickernell, Hee Sun Hong

Publication date: 21 July 2005

Published in: ACM Transactions on Mathematical Software (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/779359.779360

Mathematics Subject Classification ID

Number-theoretic algorithms; complexity (11Y16) Random number generation in numerical analysis (65C10) Prefix, length-variable, comma-free codes (94A45) Pseudo-random numbers; Monte Carlo methods (11K45)

Related Items (32)

Quasi-random numbers for copula models ⋮ EXACT SIMULATION OF THE 3/2 MODEL ⋮ Are quasi-Monte Carlo algorithms efficient for two-stage stochastic programs? ⋮ Grid-based Quasi-Monte Carlo Applications ⋮ An empirical analysis of scenario generation methods for stochastic optimization ⋮ Improving simulated annealing through derandomization ⋮ Discrepancy behaviour in the non-asymptotic regime ⋮ Improving p-value approximation and level accuracy of Monte Carlo tests by quasi-Monte Carlo methods ⋮ Dependence properties of scrambled Halton sequences ⋮ Comparison of Sobol' sequences in financial applications ⋮ A Tool for Custom Construction of QMC and RQMC Point Sets ⋮ Evaluating nearly singular multinormal expectations with application to wave distributions ⋮ Reliable error estimation for Sobol' indices ⋮ Alternative sampling methods for estimating multivariate normal probabilities ⋮ A construction of polynomial lattice rules with small gain coefficients ⋮ Generation of space-filling uniform designs in unit hypercubes ⋮ Efficient Stochastic Approaches for Multidimensional Integrals in Bayesian Statistics ⋮ Hybrid method for the chemical master equation ⋮ On scrambled Halton sequences ⋮ Randomized quasi-Monte Carlo methods in pricing securities ⋮ On pricing discrete barrier options using conditional expectation and importance sampling Monte Carlo ⋮ A hierarchy of approximations of the master equation scaled by a size parameter ⋮ Quasi-Monte Carlo methods with applications in finance ⋮ Silver mean conjectures for 15-dimensional volumes and 14-dimensional hyperareas of the separable two-qubit systems ⋮ Error trends in quasi-Monte Carlo integration ⋮ Control variates for quasi-Monte Carlo (with comments and rejoinder) ⋮ On the dependence structure and quality of scrambled \((t,m,s)\)-nets ⋮ Parallel quasirandom number generations for heterogeneous computing environments ⋮ Algorithm 823 ⋮ Qubit-qutrit separability-probability ratios ⋮ Constructions of \((t,m,s)\)-nets and \((t,s)\)-sequences ⋮ Discrepancy Theory and Quasi-Monte Carlo Integration

Uses Software

• TOMS659

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