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

DOI10.1016/J.CPC.2006.02.001zbMATH Open1196.65024arXivhep-ph/0504085OpenAlexW2019600130MaRDI QIDQ710015FDOQ710015

Authors: Ronald Kleiss, Achilleas Lazopoulos 

Publication date: 18 October 2010

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

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.

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

Recommendations

• scientific article; zbMATH DE number 1103074
• Discrepancy-based error estimates for quasi-Monte Carlo. III: Error distributions and central limits
• Quasi-Monte Carlo methods for lattice systems: a first look
• Discrepancy-based error estimates for quasi-Monte Carlo. I: General formalism
• Publication:4934387

zbMATH Keywords

numerical integrationquasi-Monte Carloprobabilistic error estimates

Mathematics Subject Classification ID

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

Cites Work

• On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
• Low-discrepancy and low-dispersion sequences
• Error trends in quasi-Monte Carlo integration
• Implementation and tests of low-discrepancy sequences
• Title not available (Why is that?)
• Discrepancy-based error estimates for quasi-Monte Carlo. III: Error distributions and central limits
• Discrepancy-based error estimates for quasi-Monte Carlo. II: Results in one dimension

Cited In (8)

• The trio identity for quasi-Monte Carlo error
• Complexity science of multiscale materials via stochastic computations
• Discrepancy-based error estimates for quasi-Monte Carlo. III: Error distributions and central limits
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• On the efficient numerical solution of lattice systems with low-order couplings
• First- and second-order error estimates in Monte Carlo integration

Uses Software

• RANLUX

This page was built for publication: Error in Monte Carlo, quasi-error in quasi-Monte Carlo

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q710015)