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

Pierre L’Ecuyer

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.

Keywords: Algorithms Performance

Published: 16th May 2010
Publisher: ICST
Modified: 16th May 2010

: http://dx.doi.org/10.4108/ICST.VALUETOOLS2009.7914