Randomized Quasi-Monte Carlo Methods Randomized Quasi-Monte Carlo Methods

Fred J. Hickernell

Department of Mathematics, Hong Kong Baptist University (fred@hkbu.edu.hk)

Abstract

Monte Carlo methods are used to solve complex, high-dimensional problems, such as the pricing of financial derivatives. In order to improve the accuracy of Monte Carlo methods one sometimes replaces pseudo-random points with evenly-distributed deterministic points. Such methods are called quasi-Monte Carlo methods. However, deterministic methods are inherently biased, so there have been attempts to randomize quasi-Monte Carlo methods. This talks surveys recent results by the author and others and attempts to explain when one may expect randomized quasi-Monte Carlo methods to outperform traditional Monte Carlo methods.


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On 20 May 1999, 20:48.