Scrambling non-uniform nets

DOI10.2478/S12175-009-0134-3MaRDI QIDQ3632784zbMATH OpenOpenAlexFDO

Authors Shu Tezuka

Publication date 12 June 2009

Published in Mathematica Slovaca (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.2478/s12175-009-0134-3

zbMATH Keywords

\((t,m,d)\)-netsdiscrepancyLatin hypercube samplingMonte Carlo methodOwen's scramblingquasi-Monte Carlo methodSobol's points

Mathematics Subject Classification ID

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

Recommendations

• Monte Carlo Variance of Scrambled Net Quadrature
• Higher order scrambled digital nets achieve the optimal rate of the root mean square error for smooth integrands
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• scientific article; zbMATH DE number 822320
• Variance with alternative scramblings of digital nets
• Large Sample Properties of Simulations Using Latin Hypercube Sampling
• scientific article; zbMATH DE number 1390099
• Local antithetic sampling with scrambled nets

Cites work

• Monte Carlo Variance of Scrambled Net Quadrature
• On the \(L_2\)-discrepancy for anchored boxes
• On the distribution of points in a cube and the approximate evaluation of integrals
• Scrambled net variance for integrals of smooth functions
• Scrambling Sobol' and Niederreiter-Xing points
• Uniformly distributed sequences with an additional uniform property

Cited in

(11)

• The discrepancy and gain coefficients of scrambled digital nets.
• The distribution of the discrepancy of scrambled digital (t,m,s)-nets
• \(I\)-binomial scrambling of digital nets and sequences
• On negative dependence properties of Latin hypercube samples and scrambled nets
• Discrepancy between QMC and RQMC. II
• Variance with alternative scramblings of digital nets
• A Strong Law of Large Numbers for Scrambled Net Integration
• High-discrepancy sequences for high-dimensional numerical integration
• Transformations and Hardy-Krause variation
• On the Distribution of Scrambled $$(0,m,s)-$$Nets Over Unanchored Boxes
• Local antithetic sampling with scrambled nets

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