Summary
We construct infinite-dimensional highly-uniform point sets for quasi-Monte Carlo integration. The successive coordinates of each point are determined by a linear recurrence in \(\mathbb{F}_{2^w } \), the finite field with 2w elements where w is an integer, and a mapping from this field to the interval [0, 1). One interesting property of these point sets is that almost all of their two-dimensional projections are perfectly equidistributed. We performed searches for specific parameters in terms of different measures of uniformity and different numbers of points. We give a numerical illustration showing that using randomized versions of these point sets in place of independent random points can reduce the variance drastically for certain functions.
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Panneton, F., L’Ecuyer, P. (2006). Infinite-Dimensional Highly-Uniform Point Sets Defined via Linear Recurrences in \(\mathbb{F}_{2^w } \). In: Niederreiter, H., Talay, D. (eds) Monte Carlo and Quasi-Monte Carlo Methods 2004. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-31186-6_25
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DOI: https://doi.org/10.1007/3-540-31186-6_25
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-25541-3
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