Title :
Constructing adapted lattice rules using problem-dependent criteria
Author :
L´Ecuyer, Pierre ; Munger, D.
Author_Institution :
DIRO, Univ. de Montreal, Montreal, QC, Canada
Abstract :
We describe a new software tool named Lattice Builder, designed to construct lattice point sets for quasi-Monte Carlo integration via randomly-shifted lattice rules. This tool permits one to search for good lattice parameters in terms of various uniformity criteria, for an arbitrary number of points and arbitrary dimension. It also constructs lattices that are extensible in the number of points and in the dimension. A numerical illustration is given.
Keywords :
Monte Carlo methods; mathematics computing; random processes; software packages; Lattice Builder; adapted lattice rule construction; lattice parameter search; lattice point set construction; problem-dependent criteria; quasiMonte Carlo integration; randomly-shifted lattice rules; software tool; uniformity criteria; Approximation methods; Computational modeling; Lattices; Mathematical model; Random variables; Software; Vectors;
Conference_Titel :
Simulation Conference (WSC), Proceedings of the 2012 Winter
Conference_Location :
Berlin
Print_ISBN :
978-1-4673-4779-2
Electronic_ISBN :
0891-7736
DOI :
10.1109/WSC.2012.6465291
