An algorithm to compute the t-value of a digital net and of its projections

DOI10.1016/J.CAM.2019.112669MaRDI QIDQ2297127zbMATH OpenOpenAlexFDO

Authors Pierre Marion, Maxime Godin, Pierre L'Ecuyer

Publication date 18 February 2020

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1910.02277

zbMATH Keywords

\(t\)-valuedigital netquasi-Monte Carlo

Mathematics Subject Classification ID

Pseudo-random numbers; Monte Carlo methods (11K45) Monte Carlo methods (65C05)

Abstract: Digital nets are among the most successful methods to construct low-discrepancy point sets for quasi-Monte Carlo integration. Their quality is traditionally assessed by a measure called the $t$-value. A refinement computes the $t$-value of the projections over subsets of coordinates and takes a weighted average (or some other function) of these values. It is also of interest to compute the $t$-values of embedded nets obtained by taking subsets of the points. In this paper, we propose an efficient algorithm to compute such measures and we compare our approach with previously proposed methods both empirically and in terms of computational complexity.

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Cited in

(6)

• Calculation of the quality parameter of digital nets and application to their construction
• The nonzero gain coefficients of Sobol's sequences are always powers of two
• The exact quality parameter of nets derived from Sobol' and Niederreiter sequences
• On the fast computation of the weight enumerator polynomial and the t value of digital nets over finite abelian groups
• A Coding Theoretic Approach to Building Nets with Well-Equidistributed Projections
• A Tool for Custom Construction of QMC and RQMC Point Sets

Describes a project that uses

Uses Software

• LatNet Builder
• Lattice Builder
• sobol.cc

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