Remarks on randomization of quasi-random numbers

2018 ◽  
Vol 24 (2) ◽  
pp. 139-145 ◽  
Author(s):  
Sergej M. Ermakov ◽  
Svetlana N. Leora
Keyword(s):  
Monte Carlo ◽  
Quadrature Formulas ◽  
Random Numbers ◽  
Free Node ◽  
Shift Method ◽  
Numerical Examples ◽  
Quasi Monte Carlo ◽  
The Subject ◽  
Halton Sequences ◽  
Special Case

Abstract In this paper we discuss estimation of the quasi-Monte Carlo methods error in the case of calculation of high-order integrals. Quasi-random Halton sequences are considered as a special case. Randomization of these sequences by the random shift method turns out to lead to well-known random quadrature formulas with one free node. Some new properties of such formulas are pointed out. The subject is illustrated by a number of numerical examples.

scholarly journals Approximating the Laplace transform of the sum of dependent lognormals

2016 ◽  
Vol 48 (A) ◽  
pp. 203-215 ◽  
Author(s):  
Patrick J. Laub ◽  
Søren Asmussen ◽  
Jens L. Jensen ◽  
Leonardo Rojas-Nandayapa
Keyword(s):  
Monte Carlo ◽  
Laplace Transform ◽  
Taylor Expansion ◽  
Multivariate Normal ◽  
Numerical Examples ◽  
Quasi Monte Carlo ◽  
Error Factor ◽  
The Laplace Transform ◽  
Laplace Transform Inversion ◽  
Mean Vector

AbstractLet (X1,...,Xn) be multivariate normal, with mean vector 𝛍 and covariance matrix 𝚺, and letSn=eX1+⋯+eXn. The Laplace transform ℒ(θ)=𝔼e-θSn∝∫exp{-hθ(𝒙)}d𝒙 is represented as ℒ̃(θ)I(θ), where ℒ̃(θ) is given in closed form andI(θ) is the error factor (≈1). We obtain ℒ̃(θ) by replacinghθ(𝒙) with a second-order Taylor expansion around its minimiser 𝒙*. An algorithm for calculating the asymptotic expansion of 𝒙*is presented, and it is shown thatI(θ)→ 1 as θ→∞. A variety of numerical methods for evaluatingI(θ) is discussed, including Monte Carlo with importance sampling and quasi-Monte Carlo. Numerical examples (including Laplace-transform inversion for the density ofSn) are also given.

scholarly journals AN ADAPTIVE METHOD FOR EVALUATING MULTIDIMENSIONAL CONTINGENT CLAIMS: PART II

2003 ◽  
Vol 06 (04) ◽  
pp. 327-353 ◽  
Author(s):  
LARS O. DAHL
Keyword(s):  
Monte Carlo ◽  
Option Pricing ◽  
Variance Reduction ◽  
Adaptive Method ◽  
Unit Cube ◽  
Random Numbers ◽  
Quasi Monte Carlo ◽  
Low Discrepancy Sequences ◽  
Pricing Problems ◽  
Simulation Results

This is part two of a work on adaptive integration methods aimed at multidimensional option pricing problems in finance. It presents simulation results of an adaptive method developed in the companion article [3] for the evaluation of multidimensional integrals over the unit cube. The article focuses on a rather general test problem constructed to give insights in the success of the adaptive method for option pricing problems. We establish a connection between the decline rate of the ordered eigenvalues of the pricing problem and the efficiency of the adaptive method relative to the non-adaptive. This gives criteria for when the adaptive method can be expected to outperform the non-adaptive for other pricing problems. In addition to evaluating the method for different problem parameters, we present simulation results after adding various techniques to enhance the adaptive method itself. This includes using variance reduction techniques for each sub-problem resulting from the partitioning of the integration domain. All simulations are done with both pseudo-random numbers and quasi-random numbers (low discrepancy sequences), resulting in Monte Carlo (MC) and quasi-Monte Carlo (QMC) estimators and the ability to compare them in the given setting. The results show that the adaptive method can give performance gains in the order of magnitudes for many configurations, but it should not be used incautious, since this ability depends heavily on the problem at hand.

scholarly journals A stochastic analysis of greedy routing in a spatially dependent sensor network

2012 ◽  
Vol 23 (4) ◽  
pp. 485-514 ◽  
Author(s):  
HOLGER P. KEELER
Keyword(s):  
Monte Carlo ◽  
Sensor Network ◽  
Monte Carlo Integration ◽  
Greedy Routing ◽  
Quasi Monte Carlo ◽  
Forwarding Node ◽  
Node Location ◽  
Speed Up ◽  
Halton Sequences ◽  
Random Behaviour

For a sensor network, a tractable spatially dependent node deployment model is presented with the property that the density is inversely proportional to the sink distance. A stochastic model is formulated to examine message advancements under greedy routing in such a sensor network. The aim of this work is to demonstrate that an inhomogeneous Poisson process can be used to model a sensor network with spatially dependent node density. Symmetric elliptic integrals and asymptotic approximations are used to describe the random behaviour of hops. Types of dependence that affect hop advancements are examined. We observe that the dependence between successive jumps in a multi-hop path is captured by including only the previous forwarding node location. We include a simple uncoordinated sleep scheme, and observe that the complexity of the model is reduced when sufficiently many nodes are asleep. All expressions involving multi-dimensional integrals are derived and evaluated with quasi-Monte Carlo integration methods based on Halton sequences and recently developed lattice rules. An importance sampling function is derived to speed up the quasi-Monte Carlo methods. The ensuing results agree extremely well with simulations.

A computational investigation of the optimal Halton sequence in QMC applications

2019 ◽  
Vol 25 (3) ◽  
pp. 187-207
Author(s):  
Manal Bayousef ◽  
Michael Mascagni
Keyword(s):  
Monte Carlo ◽  
High Dimensional ◽  
Two Dimensional ◽  
Computational Investigation ◽  
Halton Sequence ◽  
Quasi Monte Carlo ◽  
Correlation Problem ◽  
Halton Sequences ◽  
Optimal Multiplier

Abstract We propose the use of randomized (scrambled) quasirandom sequences for the purpose of providing practical error estimates for quasi-Monte Carlo (QMC) applications. One popular quasirandom sequence among practitioners is the Halton sequence. However, Halton subsequences have correlation problems in their highest dimensions, and so using this sequence for high-dimensional integrals dramatically affects the accuracy of QMC. Consequently, QMC studies have previously proposed several scrambling methods; however, to varying degrees, scrambled versions of Halton sequences still suffer from the correlation problem as manifested in two-dimensional projections. This paper proposes a modified Halton sequence (MHalton), created using a linear digital scrambling method, which finds the optimal multiplier for the Halton sequence in the linear scrambling space. In order to generate better uniformity of distributed sequences, we have chosen strong MHalton multipliers up to 360 dimensions. The proposed multipliers have been tested and proved to be stronger than several sets of multipliers used in other known scrambling methods. To compare the quality of our proposed scrambled MHalton sequences with others, we have performed several extensive computational tests that use {L_{2}} -discrepancy and high-dimensional integration tests. Moreover, we have tested MHalton sequences on Mortgage-backed security (MBS), which is one of the most widely used applications in finance. We have tested our proposed MHalton sequence numerically and empirically, and they show optimal results in QMC applications. These confirm the efficiency and safety of our proposed MHalton over scrambling sequences previously used in QMC applications.

Quasi-Monte Carlo, quasi-random numbers and quasi-error estimates

1993 ◽  
Vol 04 (02) ◽  
pp. 323-330 ◽  
Author(s):  
Ronald Kleiss
Keyword(s):  
Monte Carlo ◽  
Error Estimate ◽  
Numerical Integration ◽  
Error Estimates ◽  
Random Number ◽  
Random Numbers ◽  
Convergence Properties ◽  
Quasi Monte Carlo ◽  
New Class ◽  
Number Sequences

We discuss quasi-random number sequences as a basis for numerical integration with potentially better convergence properties than standard Monte Carlo. The importance of the discrepancy as both a measure of smoothness of distribution and an ingredient in the error estimate is reviewed. It is argued that the classical Koksma-Hlawka inequality is not relevant for error estimates in realistic cases, and a new class of error estimates is presented, based on a generalization of the Woźniakowski lemma.

scholarly journals Identification of Efficient Sampling Techniques for Probabilistic Voltage Stability Analysis of Renewable-Rich Power Systems

Energies ◽  
2021 ◽  
Vol 14 (8) ◽  
pp. 2328
Author(s):  
Mohammed Alzubaidi ◽  
Kazi N. Hasan ◽  
Lasantha Meegahapola ◽  
Mir Toufikur Rahman
Keyword(s):  
Monte Carlo ◽  
Stability Analysis ◽  
Power Systems ◽  
Large Scale ◽  
Voltage Stability ◽  
Sampling Technique ◽  
Coefficient Of Determination ◽  
Sampling Techniques ◽  
Quasi Monte Carlo ◽  
Efficient Sampling

This paper presents a comparative analysis of six sampling techniques to identify an efficient and accurate sampling technique to be applied to probabilistic voltage stability assessment in large-scale power systems. In this study, six different sampling techniques are investigated and compared to each other in terms of their accuracy and efficiency, including Monte Carlo (MC), three versions of Quasi-Monte Carlo (QMC), i.e., Sobol, Halton, and Latin Hypercube, Markov Chain MC (MCMC), and importance sampling (IS) technique, to evaluate their suitability for application with probabilistic voltage stability analysis in large-scale uncertain power systems. The coefficient of determination (R2) and root mean square error (RMSE) are calculated to measure the accuracy and the efficiency of the sampling techniques compared to each other. All the six sampling techniques provide more than 99% accuracy by producing a large number of wind speed random samples (8760 samples). In terms of efficiency, on the other hand, the three versions of QMC are the most efficient sampling techniques, providing more than 96% accuracy with only a small number of generated samples (150 samples) compared to other techniques.

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