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

DOI10.1016/S0010-4655(96)00108-7zbMATH Open0927.65041arXivhep-ph/9606309OpenAlexW3102852010MaRDI QIDQ1295820FDOQ1295820

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

Publication date: 5 October 1999

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

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.

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

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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)

Cites Work

• RANLUX: A Fortran implementation of the high-quality pseudorandom number generator of Lüscher
• Algorithm 659
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Average case complexity of multivariate integration
• Monte Carlo integration with quasi-random numbers: Some experience

Cited In (12)

• 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
• Estimation of multidimensional integrals: is Monte Carlo the best method?
• On scrambled Halton sequences
• Comparison of descriptive statistics for multidimensional point sets

Uses Software

• RANLUX

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