A practical view of randomized quasi-Monte Carlo: invited presentation, extended abstract

Authors:
Pierre L'Ecuyer
Affiliations:
Université de Montréal, Montréal, Canada
Venue:
Proceedings of the Fourth International ICST Conference on Performance Evaluation Methodologies and Tools
Year:
2009

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Abstract

In this talk we will summarize the main ideas and results on randomized quasi-Monte Carlo (RQMC) methods, discuss their practical aspects, and give several examples. RQMC methods provide unbiased estimators of a mathematical expectation whose variance sometimes converge at a faster rate than with standard Monte Carlo, as a function of the number of simulation runs. We will also discuss an RQMC variant specially designed for the simulation of Markov chains.