Quasi-Monte Carlo

Shared Foundations · Sampling · also: QMC, Low-discrepancy sampling · quasi-monte-carlo.yaml

Replaces random points with deterministic low-discrepancy sequences that cover the domain more evenly, improving the convergence rate on smooth integrands beyond the inverse square root.

• supersedescorrects · extends
• classifiesspecializes · part-of
• substitutes forapproximates · alternative-to
• depends onrequires · validates

Colour is the family; a dashed line is the second member of it.

This node

• alternative-tois a competing approach to Monte Carlo Integrationdeterministic even coverage converges faster

Referenced by

• specializesHalton Sequence is a specific case of thisradical inverse in a different prime per dimension
• specializesSobol Sequence is a specific case of thisbase-2 construction, cheap to evaluate incrementally

References

• Background — Quasi-Monte Carlo method on Wikipedia