The Monte Carlo Algorithm with a Pseudorandom Generator

DOI10.2307/2153037zbMath0757.65002OpenAlexW4233753942MaRDI QIDQ3987938

J. F. Traub, Henryk Woźniakowski

Publication date: 28 June 1992

Full work available at URL: https://doi.org/10.2307/2153037

zbMATH Keywords

error estimateserror boundsMonte Carlo integrationcontinuous functionsHölder continuous functionsintegrable functionslinear congruential pseudorandom number generator

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Approximate quadratures (41A55) Numerical quadrature and cubature formulas (65D32)

Related Items (6)

Lower Bounds for the Number of Random Bits in Monte Carlo Algorithms ⋮ On the Power of Restricted Monte Carlo Algorithms ⋮ Random bit quadrature and approximation of distributions on Hilbert spaces ⋮ Optimal integration error on anisotropic classes for restricted Monte Carlo and quantum algorithms ⋮ Quantum complexity of integration ⋮ Random bit multilevel algorithms for stochastic differential equations

Cites Work

• On the efficiency of certain quasi-random sequences of points in evaluating multi-dimensional integrals
• Deterministic and stochastic error bounds in numerical analysis
• Randomized algorithms and pseudorandom numbers
• How to Generate Cryptographically Strong Sequences of Pseudorandom Bits
• Estimating the Largest Eigenvalue by the Power and Lanczos Algorithms with a Random Start
• Quasi-Monte Carlo methods and pseudo-random numbers
• A Modified Monte-Carlo Quadrature
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