Random and deterministic digit permutations of the Halton sequence

DOI10.1007/978-3-642-27440-4_35MaRDI QIDQ5326134zbMATH OpenOpenAlexFDO

Authors Giray Ökten, M. Shah, Yevgeny Goncharov

Publication date 31 July 2013

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

Full work available at URL https://doi.org/10.1007/978-3-642-27440-4_35

zbMATH Keywords

genetic algorithmHalton sequencelow-discrepancy sequencesnumerical integrationnumerical resultsquasi-Monte Carlo method

Mathematics Subject Classification ID

Irregularities of distribution, discrepancy (11K38) Approximate quadratures (41A55) Multidimensional problems (41A63) Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32)

Recommendations

• On the Scrambled Halton Sequence
• On scrambled Halton sequences
• Good permutations for deterministic scrambled Halton sequences in terms of L₂-discrepancy
• Generalized von Neumann-Kakutani transformation and random-start scrambled Halton sequences
• Generalized Halton sequences in 2008: a comparative study

Cited in

(20)

• Randomized Halton sequences
• On randomization of Halton quasi-random sequences
• CAM stochastic volatility model for option pricing
• A random walk algorithm to estimate a lower bound of the star discrepancy
• Generalized von Neumann-Kakutani transformation and random-start scrambled Halton sequences
• Uniform point sets and the collision test
• Fast, portable, and reliable algorithm for the calculation of Halton numbers
• Dependence properties of scrambled Halton sequences
• Uncertainty and robustness in weather derivative models
• scientific article; zbMATH DE number 1103087 (Why is no real title available?)
• High-performance financial simulation using randomized quasi-Monte Carlo methods
• On the Scrambled Halton Sequence
• Generalized Halton sequences in 2008: a comparative study
• The scrambles of Halton sequence and their weaknesses
• scientific article; zbMATH DE number 7307782 (Why is no real title available?)
• Calculation of discrepancy measures and applications
• Entropy, Randomization, Derandomization, and Discrepancy
• A Space Efficient Algorithm for the Calculation of the Digit Distribution in the Kolakoski Sequence
• A Metropolis random walk algorithm to estimate a lower bound of the star discrepancy
• On scrambled Halton sequences

This page was built for publication: Random and deterministic digit permutations of the Halton sequence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5326134)