On selection criteria for lattice rules and other quasi-Monte Carlo point sets

DOI10.1016/S0378-4754(00)00254-8zbMath0981.65007WikidataQ126781791 ScholiaQ126781791MaRDI QIDQ5938372

Christiane Lemieux, Pierre L'Ecuyer

Publication date: 21 March 2002

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

zbMATH Keywords

numerical examplesquasi-Monte Carlo integrationlattice rulespseudo random number generators

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Pseudo-random numbers; Monte Carlo methods (11K45)

Related Items (8)

A parallel search for good lattice points using LLL-spectral tests ⋮ Distribution of lattice points ⋮ Randomly shifted lattice rules for unbounded integrands ⋮ On initial populations of a genetic algorithm for continuous optimization problems ⋮ Links between discrepancy and nonparametric estimation, methodology for selecting points based on available data ⋮ Tractability using periodized generalized Faure sequences ⋮ Quasi-Monte Carlo methods with applications in finance ⋮ Bad lattice points

Uses Software

• MRG32k3a

Cites Work

• Random and quasi-random point sets
• Variance reduction order using good lattice points in Monte Carlo methods
• Uniform random number generation
• Variance Reduction via Lattice Rules
• Randomization of Number Theoretic Methods for Multiple Integration
• Tables of linear congruential generators of different sizes and good lattice structure
• Latin supercube sampling for very high-dimensional simulations
• Good Parameters and Implementations for Combined Multiple Recursive Random Number Generators
• Quadrature Error Bounds with Applications to Lattice Rules
• Maximally equidistributed combined Tausworthe generators
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