Variance with alternative scramblings of digital nets

DOI10.1145/945511.945518MaRDI QIDQ4564840zbMATH OpenOpenAlexFDO

Authors Art B. Owen

Publication date 12 June 2018

Published in ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1145/945511.945518

zbMATH Keywords

randomizationquasi-Monte Carloderandomization

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical integration (65D30)

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Cited in

(33)

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• On negative dependence properties of Latin hypercube samples and scrambled nets
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• Spatial low-discrepancy sequences, spherical cone discrepancy, and applications in financial modeling
• Discrepancy of stratified samples from partitions of the unit cube
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• The distribution of the discrepancy of scrambled digital (\(t\),\(m\),\(s\))-nets
• Multivariate integration in weighted Hilbert spaces based on Walsh functions and weighted Sobolev spaces
• A Universal Median Quasi-Monte Carlo Integration
• Computational investigations of scrambled Faure sequences
• Coupling from the past with randomized quasi-Monte Carlo
• Scrambling non-uniform nets
• Randomized quasi-Monte Carlo methods in pricing securities
• A Strong Law of Large Numbers for Scrambled Net Integration
• Higher order scrambled digital nets achieve the optimal rate of the root mean square error for smooth integrands
• Dependence properties of scrambled Halton sequences
• Density estimation by randomized quasi-Monte Carlo
• On the distribution of integration error by randomly-shifted lattice rules
• Scrambled geometric net integration over general product spaces
• The discrepancy and gain coefficients of scrambled digital nets.
• Multidimensional quasi-Monte Carlo Malliavin Greeks
• Construction of interlaced scrambled polynomial lattice rules of arbitrary high order

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