4th International ICST Conference on Performance Evaluation Methodologies and Tools

Research Article

A practical view of randomized quasi-Monte Carlo: invited presentation, extended abstract

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  • @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
Pierre L’Ecuyer1,*
  • 1: DIRO, Université de Montréal, C.P. 6128, Succ. Centre-Ville, Montréal, H3C 3J7, Canada.
*Contact email: lecuyer@iro.umontreal.ca

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.