An improved low-discrepancy sequence for multidimensional quasi-Monte Carlo integration

DOI10.1016/0021-9991(79)90019-6MaRDI QIDQ1136190zbMATH OpenOpenAlexFDO

Authors Eric Braaten, George Weller

Publication date 1979

Published in Journal of Computational Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0021-9991(79)90019-6

zbMATH Keywords

low-discrepancy sequenceMonte Carlo integrationrate of convergence

Mathematics Subject Classification ID

Approximate quadratures (41A55) Multidimensional problems (41A63) Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32)

Cites work

• scientific article; zbMATH DE number 3278887 (Why is no real title available?)
• scientific article; zbMATH DE number 3390214 (Why is no real title available?)
• scientific article; zbMATH DE number 3393648 (Why is no real title available?)
• Numerical Evaluation of Multiple Integrals
• Quasi-Monte Carlo methods and pseudo-random numbers
• RANDOM NUMBERS FALL MAINLY IN THE PLANES

Cited in

(22)

• On the star-discrepancy of generalized Hammersley sequences in two dimensions
• A comparative study of pseudo and quasi random sequences for the solution of integral equations
• BAS: balanced acceptance sampling of natural resources
• Good permutations for extreme discrepancy
• Monte Carlo integration with quasi-random numbers: Some experience
• Applications of randomized low discrepancy sequences to the valuation of complex securities
• The generalized and modified Halton sequences in Cantor bases
• Star discrepancy subset selection: problem formulation and efficient approaches for low dimensions
• A parallel Voronoi-based approach for mesoscale simulations of cell aggregate electropermeabilization
• Generalized von Neumann-Kakutani transformation and random-start scrambled Halton sequences
• A computational investigation of the optimal Halton sequence in QMC applications
• Fast, portable, and reliable algorithm for the calculation of Halton numbers
• Smart sampling and incremental function learning for very large high dimensional data
• Computation of the endogenous mortgage rates with randomized quasi-Monte Carlo simulations
• On the optimal Halton sequence
• Sequences with low discrepancy and pseudo-random numbers:theoretical results and numerical tests
• Calculation of discrepancy measures and applications
• Robust trajectory planning for port handling equipment: a polynomial chaos expansion and sequential convex optimization approach
• Error trends in quasi-Monte Carlo integration
• Good permutations for deterministic scrambled Halton sequences in terms of L₂-discrepancy
• Using permutations to reduce discrepancy
• On scrambled Halton sequences

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