Questions tagged [quasi-monte-carlo]

quasi monte carlo is a technique for doing monte carlo integration and other monte carlo simulations, replacing the usual pseudo random sequence with a low-discrepancy sequence. This can be seen as a general trick to lower the variance introducing dependency into the random number sequence.

17 questions
Filter by
Sorted by
Tagged with
55 views

How to apply linear transformation? [closed]

In this post, Martin Roberts mentioned that: ... to convert to a range of [-1,1], simply apply the linear transformation x:=2x+1. The result is (-0.361655, -0.657913, -0.900599) (-0....
44 views

Can/should one generate Ginibre ensembles of random matrices using low-discrepancy normal variates--and if so. how?

I've been generating (via Mathematica) series of $4 \times 4$ "random density matrices with respect to Bures (minimal monotone) measure" https://arxiv.org/abs/0909.5094 [eq. (24)] and testing certain ...
289 views

Sobol Sensitivity Analysis

I want to use Sobol SA with Sobol sampling to find the most influential parameters on the energy consumption of a pilot building. I have 40 input variables (building characteristics) that some have ...
43 views

871 views

How to estimate the accuracy of an integral?

An extremely common situation in computer graphics is that the colour of some pixel is equal to the integral of some real-valued function. Often the function is too complicated to solve analytically, ...
2k views

Halton sequence vs Sobol' sequence?

From an answer in a previous question, I was directed toward the Halton sequence, for creating a set of vectors that covered a uniform sample space fairly evenly. But the wikipedia page mentions that ...