A computational investigation of the optimal Halton sequence in QMC applications

DOI10.1515/mcma-2019-2041zbMath1495.65003OpenAlexW2968153595WikidataQ127368339 ScholiaQ127368339MaRDI QIDQ2335713

Michael Mascagni, Manal Bayousef

Publication date: 15 November 2019

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2019-2041

zbMATH Keywords

permutationsquasi-Monte Carloscrambling

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical integration (65D30)

Uses Software

• TOMS659
• Algorithm 647
• sobol.cc

Cites Work

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• The effective dimension and quasi-Monte Carlo integration
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• Multidimensional quadrature algorithms at higher degree and/or dimension
• Weak multipliers for generalized van der Corput sequences
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• On the optimal Halton sequence
• Quasi-Random Sequences and Their Discrepancies
• Computational investigations of low-discrepancy sequences
• Toward real-time pricing of complex financial derivatives
• Efficient algorithms for computing the $L_2$-discrepancy
• Algorithm 647: Implementation and Relative Efficiency of Quasirandom Sequence Generators
• Quasi-Monte Carlo Methods for Numerical Integration: Comparison of Different Low Discrepancy Sequences
• Generalized Halton sequences in 2008
• Optimal Halton Sequence via Inversive Scrambling
• Remark on algorithm 659
• Why Are High-Dimensional Finance Problems Often of Low Effective Dimension?
• Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates
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