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A new permutation choice in Halton sequences

  • Bruno Tuffin
Part of the Lecture Notes in Statistics book series (LNS, volume 127)

Abstract

This paper has several folds. We make first new permutation choices in Halton sequences to improve their distributions. These choices are multi-dimensional and they are made for two different discrepancies. We show that multi-dimensional choices are better for standard quasi-Monte Carlo methods. We also use these sequences as a variance reduction technique in Monte Carlo methods, which greatly improves the convergence accuracy of the estimators. For this kind of use, we observe that one-dimensional choices are more efficient.

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Copyright information

© Springer Science+Business Media New York 1998

Authors and Affiliations

  • Bruno Tuffin
    • 1
  1. 1.IRISA, Campus de BeaulieuRennes cédexFrance

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