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...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Journal of computational and applied mathematics 2006-05, Vol.189 (1-2), p.341-361
Hauptverfasser: VANDEWOESTYNE, Bart, COOLS, Ronald
Format: Artikel
Sprache:eng
Schlagworte:
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
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.
ISSN:0377-0427
1879-1778
DOI:10.1016/j.cam.2005.05.022