Multidimensional quasi-Monte Carlo methods

DOI10.1016/0304-3975(94)90073-6MaRDI QIDQ1314409zbMATH OpenOpenAlexFDO

Authors Henri Faure

Publication date 3 March 1994

Published in Theoretical Computer Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-3975(94)90073-6

zbMATH Keywords

random number generationquasi-random numbersdiscrepancies inequalitiesmultidimensional quasi-Monte Carlo methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Pseudo-random numbers; Monte Carlo methods (11K45)

Recommendations

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Cites work

• scientific article; zbMATH DE number 426138 (Why is no real title available?)
• scientific article; zbMATH DE number 53679 (Why is no real title available?)
• Discrépance de suites associées à un système de numération (en dimension s)
• Low-discrepancy and low-dispersion sequences
• On the distribution of points in a cube and the approximate evaluation of integrals
• On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
• Point sets and sequences with small discrepancy

Cited in

(15)

• Multi-dimensional Q-processes
• Tractability of multivariate integration using low-discrepancy sequences
• Quasi-random points keep their distance
• Quasi-Monte Carlo methods for Markov chains with continuous multi-dimensional state space
• scientific article; zbMATH DE number 3999100 (Why is no real title available?)
• Extensions of Atanassov’s Methods for Halton Sequences
• Multidimensional quasi-Monte Carlo Malliavin Greeks
• Halton and Hammersley sequences in multivariate nonparametric regression
• An algorithm to compute bounds for the star discrepancy
• scientific article; zbMATH DE number 426138 (Why is no real title available?)
• Quasi-random integration in high dimensions
• scientific article; zbMATH DE number 4082826 (Why is no real title available?)
• Constructing Sobol Sequences with Better Two-Dimensional Projections
• Algorithm 659
• Improved Halton sequences and discrepancy bounds

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