Quasi-Monte Carlo Software

DOI10.1007/978-3-030-98319-2_2MaRDI QIDQ6154298zbMATH OpenOpenAlexFDO

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)

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

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)

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.

Recommendations

• Randomized quasi-Monte Carlo: an introduction for practitioners
• Low-discrepancy simulation
• A Tool for Custom Construction of QMC and RQMC Point Sets
• Quasi-Monte Carlo integration

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• scientific article; zbMATH DE number 53679 (Why is no real title available?)
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Cited in

(1)

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

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