Random and Deterministic Digit Permutations of the Halton Sequence

Conference paper

DOI: 10.1007/978-3-642-27440-4_35

Part of the Springer Proceedings in Mathematics & Statistics book series (PROMS, volume 23)
Cite this paper as:
Ökten G., Shah M., Goncharov Y. (2012) Random and Deterministic Digit Permutations of the Halton Sequence. In: Plaskota L., Woźniakowski H. (eds) Monte Carlo and Quasi-Monte Carlo Methods 2010. Springer Proceedings in Mathematics & Statistics, vol 23. Springer, Berlin, Heidelberg

Abstract

The Halton sequence is one of the classical low-discrepancy sequences. It is effectively used in numerical integration when the dimension is small, however, for larger dimensions, the uniformity of the sequence quickly degrades. As a remedy, generalized (scrambled) Halton sequences have been introduced by several researchers since the 1970s. In a generalized Halton sequence, the digits of the original Halton sequence are permuted using a carefully selected permutation. Some of the permutations in the literature are designed to minimize some measure of discrepancy, and some are obtained heuristically.In this paper, we investigate how these carefully selected permutations differ from a permutation simply generated at random. We use a recent genetic algorithm, test problems from numerical integration, and a recent randomized quasi-Monte Carlo method, to compare generalized Halton sequences with randomly chosen permutations, with the traditional generalized Halton sequences. Numerical results suggest that the random permutation approach is as good as, or better than, the “best” deterministic permutations.

Copyright information

© Springer-Verlag Berlin Heidelberg 2012

Authors and Affiliations

  1. 1.Department of MathematicsFlorida State UniversityTallahasseeUSA

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