Quasi-Monte Carlo Software

DOI10.1007/978-3-030-98319-2_2arXiv2102.07833OpenAlexW3133247926MaRDI QIDQ6154298FDOQ6154298

Authors: Sou-Cheng T. Choi, Fred J. Hickernell, Michael J. McCourt 

Publication date: 14 February 2024

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

Abstract: Practitioners wishing to experience the efficiency gains from using low discrepancy sequences need correct, robust, well-written software. This article, based on our MCQMC 2020 tutorial, describes some of the better quasi-Monte Carlo (QMC) software available. We highlight the key software components required by QMC to approximate multivariate integrals or expectations of functions of vector random variables. We have combined these components in QMCPy, a Python open-source library, which we hope will draw the support of the QMC community. Here we introduce QMCPy.

Full work available at URL: https://arxiv.org/abs/2102.07833

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zbMATH Keywords

open-source softwarelow discrepancy generatorsMonte Carlo stopping criteria

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Software, source code, etc. for problems pertaining to numerical analysis (65-04)

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Cited In (1)

• Super-polynomial accuracy of multidimensional randomized nets using the median-of-means

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