A computable figure of merit for quasi-Monte Carlo point sets

DOI10.1090/S0025-5718-2013-02774-3zbMath1330.11051arXiv1109.3873MaRDI QIDQ5401700

Makoto Matsumoto, Mutsuo Saito, Kyle Matoba

Publication date: 12 March 2014

Published in: Mathematics of Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1109.3873

zbMATH Keywords

numerical integration; Walsh functions; low discrepancy sequences; digital nets; quasi-Monte Carlo; computational finance; figure of merit; WAFOM

Mathematics Subject Classification ID

65C05: Monte Carlo methods

65T50: Numerical methods for discrete and fast Fourier transforms

65D30: Numerical integration

11K38: Irregularities of distribution, discrepancy

11K45: Pseudo-random numbers; Monte Carlo methods