Multidimensional sampling for simulation and integration: Measures, discrepancies, and quasi-random numbers

DOI10.1016/S0010-4655(96)00108-7MaRDI QIDQ1295820zbMATH OpenOpenAlexFDO

Authors F. James, Jiri K. Hoogland, Ronald Kleiss

Publication date 5 October 1999

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

Full work available at URL https://arxiv.org/abs/hep-ph/9606309

zbMATH Keywords

convergencenumerical integrationquasi-Monte Carloquasi-random numbersresearch surveylarge quasi-random point setsquadratic discrepancies

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Numerical quadrature and cubature formulas (65D32) Pseudo-random numbers; Monte Carlo methods (11K45)

Abstract: This is basically a review of the field of Quasi-Monte Carlo intended for computational physicists and other potential users of quasi-random numbers. As such, much of the material is not new, but is presented here in a style hopefully more accessible to physicists than the specialized mathematical literature. There are also some new results: On the practical side we give important empirical properties of large quasi-random point sets, especially the exact quadratic discrepancies; on the theoretical side, there is the exact distribution of quadratic discrepancy for random point sets.

Recommendations

• Quasi-Random Sequences and Their Discrepancies
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Cites work

• scientific article; zbMATH DE number 3141365 (Why is no real title available?)
• scientific article; zbMATH DE number 53679 (Why is no real title available?)
• scientific article; zbMATH DE number 3440485 (Why is no real title available?)
• Algorithm 659
• Average case complexity of multivariate integration
• Monte Carlo integration with quasi-random numbers: Some experience
• RANLUX: A Fortran implementation of the high-quality pseudorandom number generator of Lüscher

Cited in

(12)

• Comparison of descriptive statistics for multidimensional point sets
• Statistical properties of generalized discrepancies
• Good random number generators are (not so) easy to find
• Quasi-random integration in high dimensions
• SINGINT: automatic numerical integration of singular integrands
• Improving the rejection sampling method in quasi-Monte Carlo methods
• Quantum field theory for discrepancies
• Scaling limits for the Lego discrepancy
• On the \(L_2\)-discrepancy for anchored boxes
• Gaussian limits for discrepancies. I: Asymptotic results
• On scrambled Halton sequences
• Estimation of multidimensional integrals: is Monte Carlo the best method?

Describes a project that uses

Uses Software

• RANLUX

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