Sorting methods and convergence rates for Array-RQMC: Some empirical comparisons

Author:

L’Ecuyer PierreORCID,Munger David,Lécot Christian,Tuffin Bruno

Funder

Canada Research Chair

Inria International Chair

NSERC-Canada Discovery

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Numerical Analysis,General Computer Science,Theoretical Computer Science

Reference25 articles.

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4. V. Demers, P. L’Ecuyer, B. Tuffin, A combination of randomized quasi-Monte Carlo with splitting for rare-event simulation, in: Proceedings of the 2005 European Simulation and Modeling Conference, EUROSIS, Ghent, Belgium, pp. 25–32.

5. M. Dion, P. L’Ecuyer, American option pricing with randomized quasi-Monte Carlo simulations, in: B. Johansson, S. Jain, J. Montoya-Torres, J. Hugan, E. Yücesan (Eds.), Proceedings of the 2010 Winter Simulation Conference, pp. 2705–2720.

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1. Challenges in Developing Great Quasi-Monte Carlo Software;Springer Proceedings in Mathematics & Statistics;2024

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3. Array-RQMC to Speed up the Simulation for Estimating the Hitting-Time Distribution to a Rare Set of a Regenerative System;Advances in Modeling and Simulation;2022

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