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Quasi-Monte Carlo: An Empirical Study on Low-Discrepancy Sequences
Lukas Finschi
1996 September 23; revised 1996 December 19
Abstract
For numerical integration and many other purposes, Monte Carlo methods have been used for a long time. Newer developments replace the pseudorandom sequences of Monte Carlo methods by deterministic sequences (quasirandom or low-discrepancy sequences), and the methods are then called quasi-Monte Carlo methods. In this paper we outline several theoretical aspects of such deterministic sequences, show two examples of low-discrepancy sequences, and present the results of an empirical study.
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