Article | REF: AF600 V1

Simulations and Monte Carlo methods

Authors: Gerardo RUBINO, Bruno TUFFIN

Publication date: October 10, 2007, Review date: November 19, 2019

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6. Quasi-Monte Carlo methods

6.1 Principles

Compared with conventional numerical analysis methods, Monte Carlo methods have the great advantage of having a convergence speed in (for a sample of n points), which is independent of the problem's dimension. Nevertheless, there must be sequences of numbers that converge faster, by eliminating the random aspect. This leads to an interest in so-called quasi-Monte Carlo...

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