Generating low-discrepancy sequences from the normal distribution: Box-Muller or inverse transform?

DOI10.1016/J.MCM.2010.12.011zbMATH Open1217.65004OpenAlexW2005561019MaRDI QIDQ552152FDOQ552152

Ahmet Göncü, Giray Ökten

Publication date: 21 July 2011

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2010.12.011

zbMATH Keywords

quasi-Monte Carlolow-discrepancy sequencesbox-mullerinverse transformation method

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10)

Cites Work

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• The Brownian bridge does not offer a consistent advantage in quasi-Monte Carlo integration
• On methods for generating uniform random points on the surface of a sphere
• A central limit theorem and improved error bounds for a hybrid-Monte Carlo sequence with applications in computational finance
• Using Box-Muller with Low Discrepancy Points
• Twisted GFSR generators II

Cited In (8)

• Pseudorandom vector generation using elliptic curves and applications to Wiener processes
• Performance analysis of a robust design optimization of a solenoid with different sensitivity metrics
• A study of highly efficient stochastic sequences for multidimensional sensitivity analysis
• The acceptance-rejection method for low-discrepancy sequences
• A quasi-Monte Carlo implementation of the ziggurat method
• Faster Monte Carlo estimation of joint models for time-to-event and multivariate longitudinal data
• Preintegration via Active Subspace
• Uniform point sets and the collision test

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