Multidimensional sampling for simulation and integration: measures, discrepancies, and quasi-random numbers

Details Multidimensional sampling for simulation and integration: measures, discrepancies, and quasi-random numbers Multidimensional sampling for simulation and integration: measures, discrepancies, and quasi-random numbers

1996-06-12

arxiv.org/abs/hep-ph/9606309v3

Comput.Phys.Commun.99:180-220,1997

Physics

High Energy Physics

High Energy Physics - Phenomenology

51 pages. Full paper, including all figures also available at: ftp://ftp.nikhef.nl/pub/preprints/96-017.ps.gz Accepted for pub

Scientific paper

10.1016/S0010-4655(96)00108-7

This is basically a review of the field of Quasi-Monte Carlo intended for computational physicists and other potential users of quasi-random numbers. As such, much of the material is not new, but is presented here in a style hopefully more accessible to physicists than the specialized mathematical literature. There are also some new results: On the practical side we give important empirical properties of large quasi-random point sets, especially the exact quadratic discrepancies; on the theoretical side, there is the exact distribution of quadratic discrepancy for random point sets.

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