On probabilistic results for the discrepancy of a hybrid-Monte Carlo sequence

DOI10.1016/j.jco.2009.02.009zbMath1176.65004OpenAlexW1997108025MaRDI QIDQ2272146

Michael Gnewuch

Publication date: 6 August 2009

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

Full work available at URL: https://doi.org/10.1016/j.jco.2009.02.009

zbMATH Keywords

Monte Carlo methodlow-discrepancy sequenceshybrid methodsstar discrepancypaddingprobabilistic boundsmixed sequencesquasi Monte-Carlo method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Irregularities of distribution, discrepancy (11K38) Pseudo-random numbers; Monte Carlo methods (11K45)

Related Items (10)

A note on concatenation of quasi-Monte Carlo and plain Monte Carlo rules in high dimensions ⋮ Correction of a proof in “A probabilistic result on the discrepancy of a hybrid-Monte Carlo sequence and applications” ⋮ Entropy, Randomization, Derandomization, and Discrepancy ⋮ An elementary proof of a lower bound for the inverse of the star discrepancy ⋮ On Hybrid Point Sets Stemming from Halton-Type Hammersley Point Sets and Polynomial Lattice Point Sets ⋮ Covering numbers, dyadic chaining and discrepancy ⋮ Discrepancy bounds for a class of negatively dependent random points including Latin hypercube samples ⋮ On the existence of low‐diaphony sequences made of digital sequences and lattice point sets ⋮ On an example of finite hybrid quasi-Monte Carlo point sets ⋮ Further discrepancy bounds and an Erdös-Turán-Koksma inequality for hybrid sequences

Cites Work

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• Covering numbers, Vapnik-Červonenkis classes and bounds for the star-discrepancy
• Construction of minimal bracketing covers for rectangles
• Bracketing numbers for axis-parallel boxes and applications to geometric discrepancy
• A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance
• Bounds and constructions for the star-discrepancy via \(\delta\)-covers
• A Probabilistic Result on the Discrepancy of a Hybrid-Monte Carlo Sequence and Applications
• Correction of a proof in “A probabilistic result on the discrepancy of a hybrid-Monte Carlo sequence and applications”
• Component-by-component construction of low-discrepancy point sets of small size
• The inverse of the star-discrepancy depends linearly on the dimension
• Convergence of stochastic processes
• High dimensional simulation

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