Authors
Bruno Tuffin
Publication date
1996
Volume
2
Issue
4
Pages
295-320
Publisher
Walter de Gruyter, Berlin/New York
Description
Abstracts—Quasi-random (or low discrepancy) sequences are sequences for which the convergence to the uniform distribution on [0, 1)* occurs rapidly. Such sequences are used in quasi-Monte Carlo methods for which the convergence speed, with respect to the N first terms of the sequence, is 0 (Ν~ ι (ΙηΝ) Λ), where s is the mathematical dimension of the problem considered. The disadvantage of these methods is that the error bounds, even if they exist theoretically, are inefficient in practice. Nevertheless, to take advantage of these methods for what concerns their convergence speed, we use them as a variance reduction technique, which lead to great improvements compared to standard Monte Carlo methods. We consider in this paper two different approaches which combine Monte Carlo and quasi-Monte Carlo methods. The first one can use every low discrepancy sequence and the second one, called Owen's …
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