Good permutations for deterministic scrambled Halton sequences in terms of L2-discrepancy

Authors:
Bart Vandewoestyne;Ronald Cools
Affiliations:
Department of Computer Science, Katholieke Universiteit Leuven, Celestijnenlaan 200A, B-3001 Heverlee, Belgium;Department of Computer Science, Katholieke Universiteit Leuven, Celestijnenlaan 200A, B-3001 Heverlee, Belgium
Venue:
Journal of Computational and Applied Mathematics
Year:
2006

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Abstract

One of the best known low-discrepancy sequences, used by many practitioners, is the Halton sequence. Unfortunately, there seems to exist quite some correlation between the points from the higher dimensions. A possible solution to this problem is the so-called scrambling. In this paper, we give an overview of known scrambling methods, and we propose a new way of scrambling which gives good results compared to the others in terms of L"2-discrepancy. On top of that, our new scrambling method is very easy to implement.