Discrepancy-based error estimates for Quasi-Monte Carlo. III: Error distributions and central limits

Details Discrepancy-based error estimates for Quasi-Monte Carlo. III: Error distributions and central limits Discrepancy-based error estimates for Quasi-Monte Carlo. III: Error distributions and central limits

1996-09-04

arxiv.org/abs/hep-ph/9609244v1

Comput.Phys.Commun. 101 (1997) 21-30

Physics

High Energy Physics

High Energy Physics - Phenomenology

15 pages

Scientific paper

10.1016/S0010-4655(96)00154-3

In Quasi-Monte Carlo integration, the integration error is believed to be generally smaller than in classical Monte Carlo with the same number of integration points. Using an appropriate definition of an ensemble of quasi-randompoint sets, we derive various results on the probability distribution of the integration error, which can be compared to the standard Central Limit theorem for normal stochastic sampling. In many cases, a Gaussian error distribution is obtained.

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