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...
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| Published in | Monte Carlo methods and applications Vol. 24; no. 2; pp. 139 - 145 |
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| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
Berlin
De Gruyter
01.06.2018
Walter de Gruyter GmbH |
| Subjects | |
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| Abstract | 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. |
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| AbstractList | 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. |
| Author | Leora, Svetlana N. Ermakov, Sergej M. |
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| Copyright | Copyright Walter de Gruyter GmbH Jun 2018 |
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| SubjectTerms | 11K45 65C05 high-dimensional integration Monte Carlo simulation Quasi-Monte Carlo methods random cubature formulas, Halton sequences Random numbers Randomization Sequences |
| Title | Remarks on randomization of quasi-random numbers |
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