Abstract
Monte Carlo and quasi-Monte Carlo methods are popular numerical tools used in many applications. The quality of the pseudorandom sequence used in a Monte Carlo simulation is essential to the accuracy of its estimates. Likewise, the quality of the low-discrepancy sequence determines the accuracy of a quasi-Monte Carlo simulation. There is a vast literature on statistical tests that help us assess the quality of a pseudorandom sequence. However, for low-discrepancy sequences, assessing quality by estimating discrepancy is a very challenging problem, leaving us with no practical options in very high dimensions. In this paper, we will discuss how a certain interpretation of the well-known collision test for pseudorandom sequences can be used to obtain useful information about the quality of low-discrepancy sequences. Numerical examples will be used to illustrate the applications of the collision test.
Original language | English |
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Pages (from-to) | 798-804 |
Number of pages | 7 |
Journal | Journal of Computational and Applied Mathematics |
Volume | 259 |
Issue number | PART B |
DOIs | |
Publication status | Published - 2014 |
Externally published | Yes |
Keywords
- Collision test
- Error bounds
- Quasi-Monte Carlo
- Uniform point sets