The Monte Carlo Algorithm with a Pseudorandom Generator

DOI10.2307/2153037MaRDI QIDQ3987938zbMATH OpenOpenAlexFDO

Authors J. F. Traub, H. Woźniakowski

Publication date 28 June 1992

Full work available at URL https://doi.org/10.2307/2153037

zbMATH Keywords

continuous functionserror boundserror estimatesHölder continuous functionsintegrable functionslinear congruential pseudorandom number generatorMonte Carlo integration

Mathematics Subject Classification ID

Approximate quadratures (41A55) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Numerical quadrature and cubature formulas (65D32)

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Cites work

• A Modified Monte-Carlo Quadrature
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• How to Generate Cryptographically Strong Sequences of Pseudorandom Bits
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• On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
• Quasi-Monte Carlo methods and pseudo-random numbers
• Randomized algorithms and pseudorandom numbers

Cited in

(12)

• A 1-1 poly-t random variable generator with application to Monte Carlo integration
• Random bit quadrature and approximation of distributions on Hilbert spaces
• Random bit multilevel algorithms for stochastic differential equations
• Optimal integration error on anisotropic classes for restricted Monte Carlo and quantum algorithms
• A Monte Carlo algorithm for a lottery problem
• A note on random functions
• The Monty Python method for generating random variables
• ANALYSIS OF THE ANOMALY OF ran1() GENERATOR IN MONTE CARLO PRICING OF FINANCIAL DERIVATIVES
• On the Power of Restricted Monte Carlo Algorithms
• Monte Carlo method, random number, and pseudorandom number
• Quantum complexity of integration
• Lower Bounds for the Number of Random Bits in Monte Carlo Algorithms

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