\(I\)-binomial scrambling of digital nets and sequences

DOI10.1016/S0885-064X(03)00035-9zbMath1073.68033OpenAlexW2066294336MaRDI QIDQ1887112

Shu Tezuka, Henri Faure

Publication date: 23 November 2004

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0885-064x(03)00035-9

zbMATH Keywords

Low-discrepancy sequencesDigital nets and sequencesRandomized quasi-Monte Carlo methods

Mathematics Subject Classification ID

Analysis of algorithms and problem complexity (68Q25) Monte Carlo methods (65C05) Complexity and performance of numerical algorithms (65Y20) Irregularities of distribution, discrepancy (11K38) Pseudo-random numbers; Monte Carlo methods (11K45)

Related Items (14)

PRICING PATH-DEPENDENT OPTIONS ON STATE DEPENDENT VOLATILITY MODELS WITH A BESSEL BRIDGE ⋮ Are quasi-Monte Carlo algorithms efficient for two-stage stochastic programs? ⋮ Construction of scrambled polynomial lattice rules over \(\mathbb{F}_{2}\) with small mean square weighted \(\mathcal{L}_{2}\) discrepancy ⋮ Computational investigations of scrambled Faure sequences ⋮ A Universal Median Quasi-Monte Carlo Integration ⋮ Higher order scrambled digital nets achieve the optimal rate of the root mean square error for smooth integrands ⋮ Exploitation of sensitivity derivatives via randomized quasi-Monte Carlo methods ⋮ Local antithetic sampling with scrambled nets ⋮ The new scramble for Faure sequence based on irrational numbers ⋮ Quasi-Monte Carlo methods for lattice systems: a first look ⋮ Metamodeling of aircraft infrared signature dispersion ⋮ Computational complexity of the integration problem for anisotropic classes ⋮ Constructions of \((t,m,s)\)-nets and \((t,s)\)-sequences ⋮ New Modified Scrambled Faure Sequences

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