Remarks on randomization of quasi-random numbers

• Published in: Monte Carlo methods and applications Vol. 24; no. 2; pp. 139 - 145
• Main Authors: Ermakov, Sergej M., Leora, Svetlana N.
• Format: Journal Article
• Language: English
• 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

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...