dorsal/arxiv
View SchemaQuasi-Monte Carlo, Discrepancies and Error Estimates
| Authors | Fred James, Jiri Hoogland, Ronald Kleiss |
|---|---|
| Categories | |
| ArXiv ID | physics/9611010 |
| URL | https://arxiv.org/abs/physics/9611010 |
Abstract
We discuss the problem of defining an estimate for the error in quasi-Monte Carlo integration. The key issue is the definition of an ensemble of quasi-random point sets that, on the one hand, includes a sufficiency of equivalent point sets, and on the other hand uses information on the degree of uniformity of the point set actually used, in the form of a discrepancy or diaphony. A few examples of such discrepancies are given. We derive the distribution of our error estimate in the limit of large number of points. In many cases, Gaussian central limits are obtained. We also present numerical results for the quadratic star-discrepancy for a number of quasi-random sequences.
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"abstract": "We discuss the problem of defining an estimate for the error in quasi-Monte\nCarlo integration. The key issue is the definition of an ensemble of\nquasi-random point sets that, on the one hand, includes a sufficiency of\nequivalent point sets, and on the other hand uses information on the degree of\nuniformity of the point set actually used, in the form of a discrepancy or\ndiaphony. A few examples of such discrepancies are given. We derive the\ndistribution of our error estimate in the limit of large number of points. In\nmany cases, Gaussian central limits are obtained. We also present numerical\nresults for the quadratic star-discrepancy for a number of quasi-random\nsequences.",
"arxiv_id": "physics/9611010",
"authors": [
"Fred James",
"Jiri Hoogland",
"Ronald Kleiss"
],
"categories": [
"physics.comp-ph",
"hep-ph"
],
"title": "Quasi-Monte Carlo, Discrepancies and Error Estimates",
"url": "https://arxiv.org/abs/physics/9611010"
},
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