Quasi-Monte Carlo, low discrepancy sequences, and ergodic transformations

DOI10.1016/0377-0427(85)90035-4zbMath0582.65002OpenAlexW2086736151MaRDI QIDQ1068505

J. P. Lambert

Publication date: 1985

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0377-0427(85)90035-4

zbMATH Keywords

low discrepancy sequencesquasi-Monte Carlo methodsergodic transformationsvan der Corput sequencemeasure-preserving transformationssplitting and stacking

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Measure-preserving transformations (28D05) Random number generation in numerical analysis (65C10) Numerical quadrature and cubature formulas (65D32)

Related Items (9)

A dynamical system approach to the Kakutani–Fibonacci sequence ⋮ From van der Corput to modern constructions of sequences for quasi-Monte Carlo rules ⋮ Recent constructions of low-discrepancy sequences ⋮ Randomized quasi-Monte Carlo methods in pricing securities ⋮ Van der Corput sequences, Kakutani transforms and one-dimensional numerical integration ⋮ Generalized von Neumann-Kakutani transformation and random-start scrambled Halton sequences ⋮ Parameterization based on randomized quasi-Monte Carlo methods ⋮ A Sequence Well Dispersed in the Unit Square ⋮ Randomized Halton sequences

Cites Work

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• On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
• Discrépances de suites associées à un système de numération (en dimension un)
• Quasi-Monte Carlo methods and pseudo-random numbers

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