Error in Monte Carlo, quasi-error in quasi-Monte Carlo

DOI10.1016/J.CPC.2006.02.001MaRDI QIDQ710015zbMATH OpenOpenAlexFDO

Authors Ronald Kleiss, Achilleas Lazopoulos

Publication date 18 October 2010

Published in Computer Physics Communications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/hep-ph/0504085

zbMATH Keywords

numerical integrationprobabilistic error estimatesquasi-Monte Carlo

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30)

Abstract: While the Quasi-Monte Carlo method of numerical integration achieves smaller integration error than standard Monte Carlo, its use in particle physics phenomenology has been hindered by the abscence of a reliable way to estimate that error. The standard Monte Carlo error estimator relies on the assumption that the points are generated independently of each other and, therefore, fails to account for the error improvement advertised by the Quasi-Monte Carlo method. We advocate the construction of an estimator of stochastic nature, based on the ensemble of pointsets with a particular discrepancy value. We investigate the consequences of this choice and give some first empirical results on the suggested estimators.

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Cites work

• Discrepancy-based error estimates for quasi-Monte Carlo. II: Results in one dimension
• Discrepancy-based error estimates for quasi-Monte Carlo. III: Error distributions and central limits
• Error trends in quasi-Monte Carlo integration
• scientific article; zbMATH DE number 1390099 (Why is no real title available?)
• Implementation and tests of low-discrepancy sequences
• Low-discrepancy and low-dispersion sequences
• On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals

Cited in

(8)

• Discrepancy-based error estimates for quasi-Monte Carlo. III: Error distributions and central limits
• First- and second-order error estimates in Monte Carlo integration
• The trio identity for quasi-Monte Carlo error
• On the efficient numerical solution of lattice systems with low-order couplings
• Complexity science of multiscale materials via stochastic computations
• scientific article; zbMATH DE number 1103082 (Why is no real title available?)
• scientific article; zbMATH DE number 2100357 (Why is no real title available?)
• scientific article; zbMATH DE number 1390120 (Why is no real title available?)

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