Scrambling Sobol' and Niederreiter-Xing Points

@article{Owen1998ScramblingSA,
  title={Scrambling Sobol' and Niederreiter-Xing Points},
  author={Art B. Owen},
  journal={J. Complexity},
  year={1998},
  volume={14},
  pages={466-489}
}
Hybrids of equidistribution and Monte Carlo methods of integration can achieve the superior accuracy of the former while allowing the simple error estimation methods of the latter. In particular randomized (0; m; s)-nets in base b produce unbiased estimates of the integral, have a variance that tends to zero faster than 1=n for any square integrable integrand, and have a variance that for nite n is never more than e : = 2:718 times as large as the Monte Carlo variance. Lower bounds than e are… CONTINUE READING

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