A scalable low discrepancy point generator for parallel computing

Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)

Volumn 3358, Issue , 2004, Pages 257-262

  Liu, Kwong Ip ^a   Hickernell, Fred J ^a  

^a HONG KONG BAPTIST UNIVERSITY   (Hong Kong)

Author keywords

Digital nets; Monte Carlo and Quasi Monte Carlo methods; Parallel programming; Software library

Indexed keywords

DIGITAL LIBRARIES; MONTE CARLO METHODS; PARALLEL PROGRAMMING;

COMPLICATED FUNCTIONS; DIGITAL NETS; MONTE CARLO AND QUASI-MONTE CARLO METHODS; MONTECARLO METHODS; MULTIVARIATE FUNCTION; PARALLEL COM- PUTING; QUASI MONTE CARLO METHODS; RANDOM POINTS; SIMPLE++; SOFTWARE LIBRARIES; PARALLEL COMPUTATION; THEORETICAL METHODS;

PARALLEL PROGRAMMING; MONTE CARLO METHODS;

EID: 35048817418     PISSN: 03029743     EISSN: 16113349     Source Type: Book Series    
DOI: 10.1007/978-3-540-30566-8_31     Document Type: Article

References (11)

1. Caflish, R.E., Morokoff, W., Owen, A.B.: Valuation of mortgage-backed securities using brownian bridges to reduce effective dimension. The Journal of Computational Finance 1 (1997) 27-46
2. Hong, H.S., Hickernell, F.J.: Algorithm 823: Implementing scrambled digital sequences. ACM Transactions on Mathematical Software 29 (2003) 95-109
3. Bratley, P., Fox, B.L., Niederreiter, H.: Implementation and tests of low-discrepancy sequences. ACM Trans. Model. Comput. Simul. 2 (1992) 195-213
4. Lichtner, J.: Iterating an α-ary gray code. SIAM Journal of Discrete Mathematics 11 (1998) 381-386
5. Mascagni, M., Srinivasan, A.: Algorithm 806: SPRNG: a scalable library for pseudorandom number generation. ACM Transactions on Mathematical Software 26 (2000) 436-461
6. Ökten, G., Srinivasan, A.: Parallel quasi-monte carlo methods on a heterogeneous cluster. In Fang, K.T., Hickernell, F.J., Niederreiter, H., eds.: Monte Carlo and Quasi-Monte Carlo Methods 2000, Springer-Verlag (2002) 406-421
7. Sobol', I.M.: The distribution of points in a cube and the approximate evaluation of integrals. U.S.S.R. Comput. Math. Math. Phys. 7 (1967) 86-112
8. Niederreiter, H.: Low-discrepancy and low dispersion sequences. J. Numb. Theor. 30 (1998) 51-70
9. Niederreiter, H., Xing, C.: Nets, (t, s)-sequences and algebraic geometry. In: Random and Quasi-Random Point Sets. Volume 138 of Lecture Notes in Statistics. Springer-Verlag (1998)
10. Keister, B.D.: Multidimensional quadrature algorithms. Comput. Phys. 10 (1996) 119-122
11. Niederreiter, H.: Random number generation and quasi-Monte Carlo methods. Society for Industrial and Applied Mathematics (1992)