Implementation and tests of low-discrepancy sequences
From MaRDI portal
Publication:4876078
Recommendations
Cited in
(69)- Efficient quasi-Monte simulations for pricing high-dimensional path-dependent options
- On improving the least squares Monte Carlo option valuation method
- Global optimization based on novel heuristics, low-discrepancy sequences and genetic algorithms
- Quasi-Monte Carlo methods for numerical integration of multivariate Haar series. II
- Monte Carlo integration with quasi-random numbers: Experience with discontinuous integrands
- Numerical integration of singular integrands using low-discrepancy sequences
- Monte Carlo methods for security pricing
- Applications of randomized low discrepancy sequences to the valuation of complex securities
- Error reduction techniques in quasi-Monte Carlo integration.
- The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
- Master Lovas-Andai and equivalent formulas verifying the \(\frac{8}{33}\) two-qubit Hilbert-Schmidt separability probability and companion rational-valued conjectures
- Reliable error estimation for Sobol' indices
- Quasi-random initial population for genetic algorithms
- Epi-convergent discretizations of stochastic programs via integration quadratures
- Simulation methods in ruin models with nonlinear dividend barriers.
- Random sampling from low-discrepancy sequences: applications to option pricing
- Digital nets and sequences constructed over finite rings and their application to quasi-Monte Carlo integration
- Quasi-Monte-Carlo methods and the dispersion of point sequences
- Smoothness and dimension reduction in quasi-Monte Carlo methods
- Implementation of irreducible Sobol' sequences in prime power bases
- Iterative estimation of Sobol' indices based on replicated designs
- The new scramble for Faure sequence based on irrational numbers
- Searching for targets of nonuniform size using mixing transformations: constructive upper bounds and limit laws
- Uniform point sets and the collision test
- Comparison of Sobol' sequences in financial applications
- Alternative sampling methods for estimating multivariate normal probabilities
- Application of deterministic low-discrepancy sequences in global optimization
- A novel population initialization method for accelerating evolutionary algorithms
- Irreducible Sobol' sequences in prime power bases
- Discrepancy bound for low-dimensional point sets
- Deterministic Consistent Density Estimation for Light Transport Simulation
- Good Parameters for a Class of Node Sets in Quasi-Monte Carlo Integration
- New perspectives on (0,s)-sequences
- A search for extensible low-WAFOM point sets
- Explicit Constructions of Quasi-Monte Carlo Rules for the Numerical Integration of High-Dimensional Periodic Functions
- The asymptotic efficiency of randomized nets for quadrature
- scientific article; zbMATH DE number 1302618 (Why is no real title available?)
- Sequences with low discrepancy and pseudo-random numbers:theoretical results and numerical tests
- Programs to generate Niederreiter's low-discrepancy sequences
- Defects in parallel Monte Carlo and quasi-Monte Carlo integration using the leap-frog technique
- An evaluation of adaptive numerical integration algorithms on parallel systems
- Fast convergence of quasi-Monte Carlo for a class of isotropic integrals
- Adaptive Quasi-Monte Carlo Methods for Cubature
- Lower bounds for the length of test sequences using UIOs
- Strong tractability of multivariate integration using quasi–Monte Carlo algorithms
- scientific article; zbMATH DE number 822320 (Why is no real title available?)
- scientific article; zbMATH DE number 820496 (Why is no real title available?)
- An efficient trajectory sampling design method for elementary effect based global sensitivity analysis
- New modified scrambled Faure sequences
- Optimal Halton Sequence via Inversive Scrambling
- Implementing quasi-Monte Carlo simulations with linear transformations
- Valuation of the Reset Options Embedded in Some Equity-Linked Insurance Products
- Projections of digital nets and sequences
- Techniques for parallel quasi-Monte Carlo integration with digital sequences and associated problems
- Variance based sensitivity analysis of model output. Design and estimator for the total sensitivity index
- Computational investigations of scrambled Faure sequences
- Multi-country real business cycle models: accuracy tests and test bench
- From screening to quantitative sensitivity analysis. A unified approach
- Application of the extended Fourier amplitude sensitivity testing (FAST) method to inflated, axial stretched, and residually stressed cylinders
- Total effects with constrained features
- Challenges in developing great quasi-Monte Carlo software
- SINGINT: automatic numerical integration of singular integrands
- Error in Monte Carlo, quasi-error in quasi-Monte Carlo
- Systematic optimization methods for uniform designs under wrap-around L₂-discrepancy
- On initial populations of a genetic algorithm for continuous optimization problems
- On scrambled Halton sequences
- On the exact \(t\)-value of Niederreiter and Sobol' sequences
- Quasi-Monte Carlo methods with applications in finance
- Parameterization based on randomized quasi-Monte Carlo methods
This page was built for publication: Implementation and tests of low-discrepancy sequences
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4876078)