On Figures of Merit for Randomly-Shifted Lattice Rules

DOI10.1007/978-3-642-27440-4_6zbMath1271.65045OpenAlexW334971109MaRDI QIDQ5326103

David Munger, Pierre L'Ecuyer

Publication date: 31 July 2013

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-27440-4_6

zbMATH Keywords

performancenumerical examplesvariance reductionrandomized quasi-Monte Carlorandomly shifted lattice rules

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32)

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Uses Software

• MRG32k3a

Cites Work

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• Good Parameters and Implementations for Combined Multiple Recursive Random Number Generators
• Integrated Variance Reduction Strategies for Simulation
• Monte Carlo estimators for small sensitivity indices
• Constructing Robust Good Lattice Rules for Computational Finance

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