Remarks on randomization of quasi-random numbers

In this paper we discuss estimation of the quasi-Monte Carlo methods error in the case of calculation of high-order integrals. Quasi-random Halton sequences are considered as a special case. Randomization of these sequences by the random shift method turns out to lead to well-known random quadrature...

Full description

Saved in:
Bibliographic Details
Published inMonte Carlo methods and applications Vol. 24; no. 2; pp. 139 - 145
Main Authors Ermakov, Sergej M., Leora, Svetlana N.
Format Journal Article
LanguageEnglish
Published Berlin De Gruyter 01.06.2018
Walter de Gruyter GmbH
Subjects
11K45
65C05
high-dimensional integration
Monte Carlo simulation
Quasi-Monte Carlo methods
random cubature formulas, Halton sequences
Random numbers
Randomization
Sequences
Online AccessGet full text

Cover

More Information
Summary:In this paper we discuss estimation of the quasi-Monte Carlo methods error in the case of calculation of high-order integrals. Quasi-random Halton sequences are considered as a special case. Randomization of these sequences by the random shift method turns out to lead to well-known random quadrature formulas with one free node. Some new properties of such formulas are pointed out. The subject is illustrated by a number of numerical examples.
Bibliography:ObjectType-Article-1
SourceType-Scholarly Journals-1
ObjectType-Feature-2
content type line 14
ISSN:0929-9629
1569-3961
DOI:10.1515/mcma-2018-0012