Sequences with low discrepancy and pseudo-random numbers:theoretical results and numerical tests

DOI10.1080/00949659708811786zbMath0881.65016OpenAlexW2032265626MaRDI QIDQ4347033

Gilles Pagès, Y.-J. Xiao

Publication date: 5 October 1997

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949659708811786

zbMATH Keywords

numerical integrationnumerical experimentsMonte Carlo methodpseudo-random numbersKoksma-Hlawka inequalitysequences with low discrepancy

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Numerical quadrature and cubature formulas (65D32) Pseudo-random numbers; Monte Carlo methods (11K45)

Related Items (2)

Random sampling from low-discrepancy sequences: applications to option pricing ⋮ Random and quasirandom sequences: Numerical estimates of uniformity of distribution

Uses Software

• TOMS659
• Algorithm 647

Cites Work

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• On effective computation of expectations in large or infinite dimension
• A comparative study of pseudo and quasi random sequences for the solution of integral equations
• An improved low-discrepancy sequence for multidimensional quasi-Monte Carlo integration
• A new measure of irregularity of distribution
• Van der Corput sequences, Kakutani transforms and one-dimensional numerical integration
• Das Gesetz vom iterierten Logarithmus für empirische Verteilungsfunktionen im \(R^k\)
• On large deviations of the empiric D.F. of vector chance variables and a law of the iterated logarithm
• Sequences with low discrepancy generalisation and application to bobbins-monbo algorithm
• Quasi-Monte Carlo methods and pseudo-random numbers

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