Sorting methods and convergence rates for Array-RQMC: some empirical comparisons

DOI10.1016/J.MATCOM.2016.07.010zbMATH Open1482.65005DBLPjournals/mcs/LEcuyerMLT18OpenAlexW2504632360WikidataQ60347103 ScholiaQ60347103MaRDI QIDQ1996950FDOQ1996950

Authors: Pierre L'Ecuyer, David Munger, Bruno Tuffin, Christian Lécot 

Publication date: 1 March 2021

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2016.07.010

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zbMATH Keywords

Markov chainvariance reductionquasi-Monte Carlolow discrepancyArray-RQMC

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05)

Cites Work

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• Extensible Grids: Uniform Sampling on a Space Filling Curve
• On array-RQMC for Markov chains: Mapping alternatives and convergence rates
• A direct inversion method for non-uniform quasi-random point sequences

Cited In (6)

• On array-RQMC for Markov chains: Mapping alternatives and convergence rates
• Quasi-Monte Carlo simulation of coagulation-fragmentation
• Sudoku Latin Square Sampling for Markov Chain Simulation
• Replicated Computations Results (RCR) Report for “MNO--PQRS: Max Nonnegativity Ordering—Piecewise-Quadratic Rate Smoothing”
• Variance reduction with array-RQMC for tau-leaping simulation of stochastic biological and chemical reaction networks
• Title not available (Why is that?)

Uses Software

• Lattice Builder

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