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Randomized Quasi-Monte Carlo Methods on Triangles: Extensible Lattices and Sequences
Methodology and Computing in Applied Probability ( IF 0.9 ) Pub Date : 2024-04-23 , DOI: 10.1007/s11009-024-10084-z
Gracia Yunruo Dong , Erik Hintz , Marius Hofert , Christiane Lemieux

Two constructions were recently proposed for constructing low-discrepancy point sets on triangles. One is based on a finite lattice, the other is a triangular van der Corput sequence. We give a continuation and improvement of these methods. We first provide an extensible lattice construction for points in the triangle that can be randomized using a simple shift. We then examine the one-dimensional projections of the deterministic triangular van der Corput sequence and quantify their sub-optimality compared to the lattice construction. Rather than using scrambling to address this issue, we show how to use the triangular van der Corput sequence to construct a stratified sampling scheme. We show how stratified sampling can be used as a more efficient implementation of nested scrambling, and that nested scrambling is a way to implement an extensible stratified sampling estimator. We also provide a test suite of functions and a numerical study for comparing the different constructions.



中文翻译:

三角形上的随机拟蒙特卡罗方法:可扩展格和序列

最近提出了两种用于在三角形上构造低差异点集的构造。一种是基于有限格,另一种是三角范德科普特序列。我们对这些方法进行了延续和改进。我们首先为三角形中的点提供可扩展的点阵结构,可以使用简单的移位将其随机化。然后,我们检查确定性三角范德科普特序列的一维投影,并与格结构相比量化它们的次优性。我们没有使用置乱来解决这个问题,而是展示了如何使用三角范德科普特序列来构建分层采样方案。我们展示了如何使用分层采样作为嵌套置乱的更有效实现,并且嵌套置乱是实现可扩展分层采样估计器的一种方法。我们还提供了功能测试套件和数值研究来比较不同的结构。

更新日期:2024-04-24
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