On the dependence structure and quality of scrambled \((t,m,s)\)-nets

DOI10.1515/mcma-2020-2079zbMath1469.11248arXiv1903.09877OpenAlexW3125876763MaRDI QIDQ2031301

Jaspar Wiart, Gracia Y. Dong, Christiane Lemieux

Publication date: 9 June 2021

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1903.09877

zbMATH Keywords

variancequasi-Monte Carlonegative dependencescrambled nets

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32) Numerical integration (65D30) Irregularities of distribution, discrepancy (11K38) Pseudo-random numbers; Monte Carlo methods (11K45)

Related Items (6)

On the Error Rate of Importance Sampling with Randomized Quasi-Monte Carlo ⋮ Super-polynomial accuracy of one dimensional randomized nets using the median of means ⋮ Dependence properties of scrambled Halton sequences ⋮ On the Distribution of Scrambled $$(0,m,s)-$$Nets Over Unanchored Boxes ⋮ Discrepancy bounds for a class of negatively dependent random points including Latin hypercube samples ⋮ Creative telescoping on multiple sums

Uses Software

• Algorithm 823

Cites Work

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• One more experiment on estimating high-dimensional integrals by quasi-Monte Carlo methods
• Implementation of irreducible Sobol' sequences in prime power bases
• Monte Carlo and quasi-Monte Carlo sampling
• Note on pairwise negative dependence of randomly shifted and jittered rank-1 lattices
• 3. On negatively dependent sampling schemes, variance reduction, and probabilistic upper discrepancy bounds
• Discrépance de suites associées à un système de numération (en dimension s)
• The mean square discrepancy of randomized nets
• Monte Carlo Variance of Scrambled Net Quadrature
• Variance with alternative scramblings of digital nets
• Negative Dependence, Scrambled Nets, and Variance Bounds
• High-dimensional integration: The quasi-Monte Carlo way
• Algorithm 823
• On the distribution of points in a cube and the approximate evaluation of integrals

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