Variance with alternative scramblings of digital nets

DOI10.1145/945511.945518zbMATH Open1390.65037OpenAlexW1986595758MaRDI QIDQ4564840FDOQ4564840

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

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zbMATH Keywords

randomizationquasi-Monte Carloderandomization

Mathematics Subject Classification ID

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

Cited In (33)

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• Discrepancy of stratified samples from partitions of the unit cube
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• A Universal Median Quasi-Monte Carlo Integration
• Multivariate integration in weighted Hilbert spaces based on Walsh functions and weighted Sobolev spaces
• Computational investigations of scrambled Faure sequences
• Coupling from the past with randomized quasi-Monte Carlo
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• A Strong Law of Large Numbers for Scrambled Net Integration
• Randomized quasi-Monte Carlo methods in pricing securities
• Dependence properties of scrambled Halton sequences
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• Higher order scrambled digital nets achieve the optimal rate of the root mean square error for smooth integrands
• On the distribution of integration error by randomly-shifted lattice rules
• Scrambled geometric net integration over general product spaces
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• Multidimensional quasi-Monte Carlo Malliavin Greeks
• Construction of interlaced scrambled polynomial lattice rules of arbitrary high order
• Forward or backward simulation? A comparative study

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