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Lecture

Low Discrepancy Sequences

In course

MATH-414: Stochastic simulation

The student who follows this course will get acquainted with computational tools used to analyze systems with uncertainty arising in engineering, physics, chemistry, and economics. Focus will be on sampling methods as Monte Carlo, quasi Monte Carlo, Mark ...

Description

This lecture covers the concept of low discrepancy sequences and their applications in stochastic simulation, Markov chain Monte Carlo methods, and numerical integration. It explains the theory behind low discrepancy sequences, their generation, and their properties, such as the radical inverse and lattice points. The lecture also delves into the importance of good choices of parameters in generating low discrepancy sequences and their impact on the efficiency of numerical methods.

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Instructor

Fabio Nobile

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