Title :
Generating “dependent” quasi-random numbers
Author :
Henderson, Shane G. ; Chiera, Belinda A. ; Cooke, Roger M.
Author_Institution :
Dept. of Ind. & Oper. Eng., Michigan Univ., Ann Arbor, MI, USA
Abstract :
Under certain conditions on the integrand, quasi-Monte Carlo methods for estimating integrals (expectations) converge faster asymptotically than Monte Carlo methods. Motivated by this result, we consider the generation of quasi-random vectors with given marginals and given correlation matrix. We extend the “Normal To Anything” (NORTA) method, introduced by M.C. Cario and B.L. Nelson (1997), to this context, and term the extension the “Quasi-Random to Anything” (QUARTA) method
Keywords :
Monte Carlo methods; integral equations; matrix algebra; random number generation; random processes; NORTA method; Normal To Anything method; QUARTA method; Quasi-Random to Anything method; correlation matrix; dependent quasi-random number generation; expectations; integral estimation; integrand; quasi-Monte Carlo methods; quasi-random vectors; Covariance matrix; Density measurement; Mathematics; Random variables; Stochastic processes; Vectors;
Conference_Titel :
Simulation Conference, 2000. Proceedings. Winter
Conference_Location :
Orlando, FL
Print_ISBN :
0-7803-6579-8
DOI :
10.1109/WSC.2000.899760
