Remark on algorithm 659-Reference-Cited by-同舟云学术

Remark on algorithm 659

Published:2003-03 Issue:1 Volume:29 Page:49-57
ISSN:0098-3500
Container-title:ACM Transactions on Mathematical Software
language:en
Short-container-title:ACM Trans. Math. Softw.

Author:

Joe Stephen¹,Kuo Frances Y.²

Affiliation:

1. University of Waikato, Hamilton, New Zealand

2. University of New South Wales, Sydney, Australia

Abstract

An algorithm to generate Sobol' sequences to approximate integrals in up to 40 dimensions has been previously given by Bratley and Fox in Algorithm 659. Here, we provide more primitive polynomials and "direction numbers" so as to allow the generation of Sobol' sequences to approximate integrals in up to 1111 dimensions. The direction numbers given generate Sobol' sequences that satisfy Sobol's so-called Property A.

Publisher

Association for Computing Machinery (ACM)

Subject

Applied Mathematics,Software

Link

https://dl.acm.org/doi/pdf/10.1145/641876.641879

Reference14 articles.

1. Acworth P. A. Broadie M. and Glasserman P. 1998. A comparison of some Monte Carlo and quasi-Monte Carlo techniques for option pricing. In Monte Carlo and Quasi-Monte Carlo Methods 1996 H. Niederreiter P. Hellekalek G. Larcher and P. Zinterhof Eds. Lecture Notes in Statistics vol. 127. Springer New York 1--18.]] Acworth P. A. Broadie M. and Glasserman P. 1998. A comparison of some Monte Carlo and quasi-Monte Carlo techniques for option pricing. In Monte Carlo and Quasi-Monte Carlo Methods 1996 H. Niederreiter P. Hellekalek G. Larcher and P. Zinterhof Eds. Lecture Notes in Statistics vol. 127. Springer New York 1--18.]]

2. An economic method of computing LPτ-sequences. Zh. v&ymacr;chisl. Mat. mat;Antonov I. A.;Fiz.,1979

3. Algorithm 659

4. Algorithm 647: Implementation and Relative Efficiency of Quasirandom Sequence Generators

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