The star discrepancy of points in is the largest difference, over boxes , between the fraction of points in the box and its volume. A low-discrepancy sequence has . The Sobol sequence (Sobol, 1967) is a base-2 low-discrepancy sequence built coordinate by coordinate from primitive polynomials and direction numbers, by exclusive-or of binary digits. Quasi-Monte Carlo replaces the random draws of Monte Carlo by such points.
Quantitative Finance · Begrippenlijst
Wat is Low-discrepancy sequence, Sobol sequence, quasi-Monte Carlo?
Ook bekend als: low-discrepancy sequence · Sobol sequence · quasi-Monte Carlo