Quasi-Monte Carlo Methods for Numerical Integration: Comparison of Different Low Discrepancy Sequences

1996 ◽  
Vol 2 (1) ◽  
pp. 1-14 ◽  
Author(s):  
Igor Radović ◽  
Ilya M. Sobol’ ◽  
Robert F. Tichy
Keyword(s):  
Monte Carlo ◽  
Numerical Integration ◽  
Monte Carlo Methods ◽  
Quasi Monte Carlo ◽  
Low Discrepancy Sequences

Monte Carlo and quasi-Monte Carlo methods

Acta Numerica ◽  
1998 ◽  
Vol 7 ◽  
pp. 1-49 ◽  
Author(s):  
Russel E. Caflisch
Keyword(s):  
Monte Carlo ◽  
Convergence Rate ◽  
Monte Carlo Methods ◽  
Variance Reduction ◽  
Rarefied Gas ◽  
Fluid Dynamic ◽  
Random Sequence ◽  
Convergence Theory ◽  
Quasi Monte Carlo ◽  
Low Discrepancy Sequences

Monte Carlo is one of the most versatile and widely used numerical methods. Its convergence rate, O(N−1/2), is independent of dimension, which shows Monte Carlo to be very robust but also slow. This article presents an introduction to Monte Carlo methods for integration problems, including convergence theory, sampling methods and variance reduction techniques. Accelerated convergence for Monte Carlo quadrature is attained using quasi-random (also called low-discrepancy) sequences, which are a deterministic alternative to random or pseudo-random sequences. The points in a quasi-random sequence are correlated to provide greater uniformity. The resulting quadrature method, called quasi-Monte Carlo, has a convergence rate of approximately O((logN)kN−1). For quasi-Monte Carlo, both theoretical error estimates and practical limitations are presented. Although the emphasis in this article is on integration, Monte Carlo simulation of rarefied gas dynamics is also discussed. In the limit of small mean free path (that is, the fluid dynamic limit), Monte Carlo loses its effectiveness because the collisional distance is much less than the fluid dynamic length scale. Computational examples are presented throughout the text to illustrate the theory. A number of open problems are described.

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