Remarks on randomization of quasi-random numbers

Remarks on randomization of quasi-random numbers AbstractIn this paper we discuss estimation of the quasi-Monte Carlo methods error in the case of calculation of high-order integrals. Quasi-random Halton sequences are considered as a special case. Randomization of these sequences by the random shift method turns out to lead to well-known random quadrature formulas with one free node. Some new properties of such formulas are pointed out. The subject is illustrated by a number of numerical examples. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Monte Carlo Methods and Applications de Gruyter

Remarks on randomization of quasi-random numbers

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Publisher
de Gruyter
Copyright
© 2018 Walter de Gruyter GmbH, Berlin/Boston
ISSN
1569-3961
eISSN
1569-3961
D.O.I.
10.1515/mcma-2018-0012
Publisher site
See Article on Publisher Site

Abstract

AbstractIn this paper we discuss estimation of the quasi-Monte Carlo methods error in the case of calculation of high-order integrals. Quasi-random Halton sequences are considered as a special case. Randomization of these sequences by the random shift method turns out to lead to well-known random quadrature formulas with one free node. Some new properties of such formulas are pointed out. The subject is illustrated by a number of numerical examples.

Journal

Monte Carlo Methods and Applicationsde Gruyter

Published: Jun 1, 2018

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