Fast, portable, and reliable algorithm for the calculation of Halton numbers

DOI10.1016/0898-1221(93)90307-HMaRDI QIDQ2365548zbMATH OpenFDO

Authors Miroslav Kolář, Seamus F. O'Shea

Publication date 29 June 1993

Published in Computers & Mathematics with Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0898-1221(93)90307-H

zbMATH Keywords

fast algorithmHalton numbersHalton vectorsMonte Carlomultidimensional integralsquasi-random sequences

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Numerical quadrature and cubature formulas (65D32)

Review text

A new fast algorithm is derived for the generation of the components of Halton vectors, which is one of the quasi-random sequences designed for efficient Monte Carlo calculation of multidimensional integrals. It is based on the original definition of the Halton numbers with somewhat larger memory space. It is shown that a modified Halton sequence based on this algorithm is useful in quasi-Monte Carlo multidimensional integration.

Recommendations

• scientific article; zbMATH DE number 1969617
• Remark on algorithm 659
• Randomized Halton sequences
• Random and deterministic digit permutations of the Halton sequence
• Computational investigations of low-discrepancy sequences

Cites work

• Algorithm 647: Implementation and Relative Efficiency of Quasirandom Sequence Generators
• An improved low-discrepancy sequence for multidimensional quasi-Monte Carlo integration
• Discrépance de suites associées à un système de numération (en dimension s)
• scientific article; zbMATH DE number 3247704 (Why is no real title available?)
• scientific article; zbMATH DE number 3019347 (Why is no real title available?)
• Monte Carlo integration with quasi-random numbers: Some experience
• On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals

Cited in

(4)

• An algorithm for generating low discrepancy sequences on vector computers
• Monte Carlo integration with quasi-random numbers: Experience with discontinuous integrands
• Good permutations for deterministic scrambled Halton sequences in terms of L₂-discrepancy
• On scrambled Halton sequences

Describes a project that uses

Uses Software

• Algorithm 247
• Algorithm 647
• rhalton

This page was built for publication: Fast, portable, and reliable algorithm for the calculation of Halton numbers

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2365548)