The Quasi-Monte Carlo Method

descriptionPublicationkeyboard_double_arrow_right Part of book or chapter of book , Other literature type 01 Jan 2018 English Publisher:Springer Nature Switzerland

Authors: Gilles Pagès;

doi: 10.1007/978-3-032-10092-4_4 , 10.1007/978-3-319-90276-0_4

The Quasi-Monte Carlo Method

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Abstract

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 \([0,1]^d\)-valued vectors which, once substituted mutatis mutandis 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 d of the simulation.

Related Organizations

University of Paris
France
Sorbonne Université
France

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