Computational investigations of scrambled Faure sequences

DOI10.1016/j.matcom.2009.09.007zbMath1207.65010OpenAlexW1999553158WikidataQ57778816 ScholiaQ57778816MaRDI QIDQ622175

Ronald Cools, Bart Vandewoestyne, Hongmei Chi

Publication date: 31 January 2011

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

Full work available at URL: https://doi.org/10.1016/j.matcom.2009.09.007

zbMATH Keywords

numerical exampleslow-discrepancy sequences(quasi)-Monte CarloFaure sequencelinear scramblingnonlinear scrambling

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Irregularities of distribution, discrepancy (11K38)

Related Items (4)

Optimal Halton Sequence via Inversive Scrambling ⋮ The new scramble for Faure sequence based on irrational numbers ⋮ A robust and accurate quasi-Monte Carlo algorithm for estimating eigenvalue of homogeneous integral equations ⋮ New Modified Scrambled Faure Sequences

Uses Software

• Algorithm 647

Cites Work

• Good permutations for deterministic scrambled Halton sequences in terms of \(L_2\)-discrepancy
• Recent trends in random number and random vector generation
• On the \(L_2\)-discrepancy for anchored boxes
• Variations on \((0,s)\)-sequences
• On the asymptotic distribution of scrambled net quadrature.
• Applications of randomized low discrepancy sequences to the valuation of complex securities
• The effective dimension and quasi-Monte Carlo integration
• \(I\)-binomial scrambling of digital nets and sequences
• On the optimal Halton sequence
• Discrépance de suites associées à un système de numération (en dimension s)
• Quasi-Monte Carlo methods and pseudo-random numbers
• The mean square discrepancy of randomized nets
• A generalized discrepancy and quadrature error bound
• Variance with alternative scramblings of digital nets
• Algorithm 647: Implementation and Relative Efficiency of Quasirandom Sequence Generators
• Implementation and tests of low-discrepancy sequences
• Advanced Topics in Computional Number Theory
• Global sensitivity indices for nonlinear mathematical models and their Monte Carlo estimates
• Modeling uncertainty. An examination of stochastic theory, methods, and applications
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Computational investigations of scrambled Faure sequences