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

被引：5

作者：

Pages, G

Xiao, YJ

机构：

[1] UNIV PARIS 12,UFR SCI,F-94010 CRETEIL,FRANCE

[2] CERMA ENPC,F-93167 NOISY LE GRAND,FRANCE

[3] UNIV EVRY VAL ESSONNE,F-91000 EVRY,FRANCE

来源：

JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION | 1997年 / 56卷 / 02期

关键词：

Monte Carlo method; discrepancy; diaphony;

D O I：

10.1080/00949659708811786

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

Two methods of numerical integration in high or unbounded dimension are compared through both a theoretical and an experimental approach: the Monte Carlo method (using some (pseudo-) random numbers) and the quasi-Monte Carlo method (using some sequences with low discrepancy). A variant for the diaphony of the Koksma-Hlawka inequality is established. A multi-setting (smooth periodic, finite variation, dim-unbounded particle problem) testing methodology is processed on classical and new sequences.

引用

页码：163 / 188

页数：26

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