Search Results - subject:"low discrepancy"

Investment certificates pricing using a Quasi-Monte Carlo framework : case-studies based on the Italian market

Bottasso, Anna; Fusaro, Michelangelo; Giribone, Pier … - In: International journal of financial engineering 10 (2023) 3, pp. 1-39

Persistent link: https://www.econbiz.de/10014444661

Matlab, Python, Julia : what to choose in economics?

Coleman, Chase; Lyon, Spencer; Maliar, Lilia; Maliar, … - In: Computational economics 58 (2021) 4, pp. 1263-1288

Persistent link: https://www.econbiz.de/10012697915

Low-discrepancy sampling for approximate dynamic programming with local approximators

Cervellera, Cristiano; Gaggero, Mauro; Macciò, Danilo - In: Computers & operations research : and their … 43 (2014), pp. 108-115

Persistent link: https://www.econbiz.de/10010242069

Studying the effect of using low-discrepancy sequences to initialize population-based optimization algorithms

Omran, Mahamed; al-Sharhan, Salah; Salman, Ayed; Clerc, … - In: Computational Optimization and Applications 56 (2013) 2, pp. 457-480

In this paper, we investigate the use of low-discrepancy sequences to generate an initial population for population …-based optimization algorithms. Previous studies have found that low-discrepancy sequences generally improve the performance of a … functions (5 of them quasi-real-world problems), two popular low-discrepancy sequences and two well-known population …

Persistent link: https://www.econbiz.de/10010698279

Computational investigations of scrambled Faure sequences

Vandewoestyne, Bart; Chi, Hongmei; Cools, Ronald - In: Mathematics and Computers in Simulation (MATCOM) 81 (2010) 3, pp. 522-535

The Faure sequence is one of the well-known quasi-random sequences used in quasi-Monte Carlo applications. In its original and most basic form, the Faure sequence suffers from correlations between different dimensions. These correlations result in poorly distributed two-dimensional projections....

Persistent link: https://www.econbiz.de/10010870540

Efficient uncertainty quantification with the polynomial chaos method for stiff systems

Cheng, Haiyan; Sandu, Adrian - In: Mathematics and Computers in Simulation (MATCOM) 79 (2009) 11, pp. 3278-3295

based on collocation at a low-discrepancy set of points. Numerical experiments illustrate that the collocation least …

Persistent link: https://www.econbiz.de/10011050365

La simulation de Monte Carlo: forces et faiblesses (avec applications Visual Basic et Matlab et présentation d’une nouvelle méthode QMC)

Racicot, Francois-Éric; Théoret, Raymond - Départment des sciences administratives, Université … - 2006

: antithetic variables, control variates and low discrepancy sequences: Faure, Sobol and Halton sequences. We show how to compute …

Persistent link: https://www.econbiz.de/10005773152

Comparison of randomization techniques for low-discrepancy sequences in finance

Tamura, Tsutomu - In: Asia-Pacific Financial Markets 12 (2005) 3, pp. 227-244

Persistent link: https://www.econbiz.de/10005547722

Discrepancy estimates based on Haar functions

Entacher, Karl - In: Mathematics and Computers in Simulation (MATCOM) 55 (2001) 1, pp. 49-57

We present a technique to estimate the star-discrepancy of (t, m, s)-nets using generalized Haar function systems and apply this technique to obtain upper bounds for the star-discrepancy of special digital (t, m, s)-nets in base 2 and dimension s=2.

Persistent link: https://www.econbiz.de/10010870322

Projections of digital nets and sequences

Schmid, Wolfgang Ch. - In: Mathematics and Computers in Simulation (MATCOM) 55 (2001) 1, pp. 239-247

Currently, in the context of quasi-Monte Carlo applications, the most effective low-discrepancy point sets and …

Persistent link: https://www.econbiz.de/10010748984