Discrepancy-based error estimates for quasi-Monte Carlo. III: Error distributions and central limits

DOI10.1016/S0010-4655(96)00154-3zbMATH Open0926.65029arXivhep-ph/9609244MaRDI QIDQ1292601FDOQ1292601

Authors: Ronald Kleiss, Jiri K. Hoogland 

Publication date: 25 August 1999

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

Abstract: In Quasi-Monte Carlo integration, the integration error is believed to be generally smaller than in classical Monte Carlo with the same number of integration points. Using an appropriate definition of an ensemble of quasi-randompoint sets, we derive various results on the probability distribution of the integration error, which can be compared to the standard Central Limit theorem for normal stochastic sampling. In many cases, a Gaussian error distribution is obtained.

Full work available at URL: https://arxiv.org/abs/hep-ph/9609244

Recommendations

• Discrepancy-based error estimates for quasi-Monte Carlo. I: General formalism
• scientific article; zbMATH DE number 1103074
• Discrepancy-based error estimates for quasi-Monte Carlo. II: Results in one dimension
• On the error rate of conditional quasi-Monte Carlo for discontinuous functions
• scientific article; zbMATH DE number 1103082
• Discrepancy estimates for variance bounding Markov chain quasi-Monte Carlo
• Publication:4934387
• Randomization of Quasi-Monte Carlo Methods for Error Estimation: Survey and Normal Approximation *
• Discrepancy theory and quasi-Monte Carlo integration
• Error in Monte Carlo, quasi-error in quasi-Monte Carlo

zbMATH Keywords

central limitserror distributionsquasi-Monte Carlo integrationGaussian error distribution

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Discrepancy-based error estimates for quasi-Monte Carlo. II: Results in one dimension
• Discrepancy-based error estimates for quasi-Monte Carlo. I: General formalism

Cited In (13)

• A weighted discrepancy bound of quasi-Monte Carlo importance sampling
• The trio identity for quasi-Monte Carlo error
• Statistical properties of generalized discrepancies
• Error in Monte Carlo, quasi-error in quasi-Monte Carlo
• An outline of quasi-probability * : Why quasi-Monte-Carlo methods are statistically valid and how their errors can be estimated statistically
• Title not available (Why is that?)
• Uniform distribution and quasi-Monte Carlo methods. Discrepancy, integration and applications. Based on invited talks of the workspop, Linz, Austria, October 14--18, 2013
• Sufficient conditions for central limit theorems and confidence intervals for randomized quasi-Monte Carlo methods
• Error bounds for quasi-Monte Carlo integration with uniform point sets
• Quantum field theory for discrepancies
• Quantum field theory for discrepancies. II: \(1/N\) corrections using fermions
• Gaussian limits for discrepancies. I: Asymptotic results
• Estimation of multidimensional integrals: is Monte Carlo the best method?

This page was built for publication: Discrepancy-based error estimates for quasi-Monte Carlo. III: Error distributions and central limits

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1292601)