I present a new low discrepancy quasirandom sequence that offers many substantial improvements over other popular sequences such as the Sobol and Halton sequences.
Continue reading “The Unreasonable Effectiveness of Quasirandom Sequences”
In this brief post, I describes various methods to estimate uncertainty levels associated with numerical approximations of integrals based on quasirandom Monte Carlo (QMC) methods.
Continue reading “Efficient methods to estimate accuracy and variance
for quasi-monte carlo integration.”