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Concept
Quasi-Monte Carlo method
Summary
In numerical analysis, the quasi-Monte Carlo method is a method for numerical integration and solving some other problems using low-discrepancy sequences (also called quasi-random sequences or sub-random sequences). This is in contrast to the regular Monte Carlo method or Monte Carlo integration, which are based on sequences of pseudorandom numbers.
Monte Carlo and quasi-Monte Carlo methods are stated in a similar way.
The problem is to approximate the integral of a function f as the average of the function evaluated at a set of points x1, ..., xN:
Since we are integrating over the s-dimensional unit cube, each xi is a vector of s elements. The difference between quasi-Monte Carlo and Monte Carlo is the way the xi are chosen. Quasi-Monte Carlo uses a low-discrepancy sequence such as the Halton sequence, the Sobol sequence, or the Faure sequence, whereas Monte Carlo uses a pseudorandom sequence. The advantage of using low-discrepancy sequences is a faster rate of convergence. Quasi-Monte Carlo has a rate of convergence close to O(1/N), whereas the rate for the Monte Carlo method is O(N−0.5).
The Quasi-Monte Carlo method recently became popular in the area of mathematical finance or computational finance. In these areas, high-dimensional numerical integrals, where the integral should be evaluated within a threshold ε, occur frequently. Hence, the Monte Carlo method and the quasi-Monte Carlo method are beneficial in these situations.
The approximation error of the quasi-Monte Carlo method is bounded by a term proportional to the discrepancy of the set x1, ..., xN. Specifically, the Koksma–Hlawka inequality states that the error
is bounded by
where V(f) is the Hardy–Krause variation of the function f (see Morokoff and Caflisch (1995) for the detailed definitions). DN is the so-called star discrepancy of the set (x1,...,xN) and is defined as
where Q is a rectangular solid in [0,1]s with sides parallel to the coordinate axes. The inequality can be used to show that the error of the approximation by the quasi-Monte Carlo method is , whereas the Monte Carlo method has a probabilistic error of .
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