Research Article
A practical view of randomized quasi-Monte Carlo: invited presentation, extended abstract
@INPROCEEDINGS{10.4108/ICST.VALUETOOLS2009.7914, author={Pierre L’Ecuyer}, title={A practical view of randomized quasi-Monte Carlo: invited presentation, extended abstract}, proceedings={4th International ICST Conference on Performance Evaluation Methodologies and Tools}, publisher={ICST}, proceedings_a={VALUETOOLS}, year={2010}, month={5}, keywords={Algorithms Performance}, doi={10.4108/ICST.VALUETOOLS2009.7914} }- Pierre L’Ecuyer
Year: 2010
A practical view of randomized quasi-Monte Carlo: invited presentation, extended abstract
VALUETOOLS
ICST
DOI: 10.4108/ICST.VALUETOOLS2009.7914
Abstract
In this talk we will summarize the main ideas and results on randomized quasi-Monte Carlo (RQMC) methods, discuss their practical aspects, and give several examples. RQMC methods provide unbiased estimators of a mathematical ex- pectation whose variance sometimes converge at a faster rate than with standardMonte Carlo, as a function of the number of simulation runs. We will also discuss an RQMC variant specially designed for the simulation of Markov chains.
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