DocumentCode
597478
Title
Constructing adapted lattice rules using problem-dependent criteria
Author
L´Ecuyer, Pierre ; Munger, D.
Author_Institution
DIRO, Univ. de Montreal, Montreal, QC, Canada
fYear
2012
fDate
9-12 Dec. 2012
Firstpage
1
Lastpage
12
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Simulation Conference (WSC), Proceedings of the 2012 Winter
Conference_Location
Berlin
ISSN
0891-7736
Print_ISBN
978-1-4673-4779-2
Electronic_ISBN
0891-7736
Type
conf
DOI
10.1109/WSC.2012.6465291
Filename
6465291
Link To Document