In this chapter we present the so-called Quasi-Monte Carlo (QMC) method, which can be seen as a deterministic alternative to the standard Monte Carlo method: the pseudo-random numbers are replaced by deterministic computable sequences of vectors which, once substituted in place of pseudo-random numbers in the Monte Carlo method, may significantly speed up its rate of convergence, making it almost independent of the structural dimension of the simulation.

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The Quasi-Monte Carlo Method

  • Gilles Pagès

摘要

In this chapter we present the so-called Quasi-Monte Carlo (QMC) method, which can be seen as a deterministic alternative to the standard Monte Carlo method: the pseudo-random numbers are replaced by deterministic computable sequences of vectors which, once substituted in place of pseudo-random numbers in the Monte Carlo method, may significantly speed up its rate of convergence, making it almost independent of the structural dimension of the simulation.