NDLI: Using lattice rules for variance reduction in simulation

Content Provider	IEEE Xplore Digital Library
Author	Lemieux, C. L'Ecuyer, P.
Copyright Year	2000
Description	Author affiliation: Dept. of Math. & Stat., Calgary Univ., Alta., Canada (Lemieux, C.)
Abstract	Quasi-Monte Carlo methods are designed to improve upon the Monte Carlo method for multidimensional numerical integration by using a more regularly distributed point set than the i.i.d. sample associated with Monte Carlo. Lattice rules are one family of quasi-Monte Carlo methods, originally proposed by N.M. Korobov (1959). We explain how randomized lattice rules can be used to construct efficient estimators for typical simulation problems, and we give several numerical examples. We are interested in two main aspects: studying the variance of these estimators and finding which properties of the lattice rules should be considered when defining a selection criterion to rate and choose them. Our numerical results for three different problems illustrate how this methodology typically improves upon the usual Monte Carlo simulation method.
Starting Page	509
Ending Page	516
File Size	783661
Page Count	8
File Format	PDF
ISBN	0780365798
DOI	10.1109/WSC.2000.899758
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2000-12-10
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Winter Simulation Conf. Board of Dir.
Subject Keyword	Lattices Monte Carlo methods Mathematics Statistical distributions Design methodology Multidimensional systems Stochastic systems Random number generation Random variables Probability distribution
Content Type	Text
Resource Type	Article

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

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