Good permutations for deterministic scrambled Halton sequences in terms of L2-discrepancy
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 ov...
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Veröffentlicht in: | Journal of computational and applied mathematics 2006-05, Vol.189 (1-2), p.341-361 |
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Hauptverfasser: | , |
Format: | Artikel |
Sprache: | eng |
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Online-Zugang: | Volltext |
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Zusammenfassung: | 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 L2-discrepancy. On top of that, our new scrambling method is very easy to implement. |
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ISSN: | 0377-0427 1879-1778 |
DOI: | 10.1016/j.cam.2005.05.022 |