Monte Carlo simulations based on quasi-random Sobol
sequences and pseudo-random numbers are compared with and without a
stratified sampling variance reduction procedure (VR). We find that Sobol
sequencs are markedly superior to pseudo-random without VR and comparable
with VR.
By: C. Leonard Berman
Published in: RC20570 in 1996
LIMITED DISTRIBUTION NOTICE:
This Research Report is available. This report has been submitted for publication outside of IBM and will probably be copyrighted if accepted for publication. It has been issued as a Research Report for early dissemination of its contents. In view of the transfer of copyright to the outside publisher, its distribution outside of IBM prior to publication should be limited to peer communications and specific requests. After outside publication, requests should be filled only by reprints or legally obtained copies of the article (e.g., payment of royalties). I have read and understand this notice and am a member of the scientific community outside or inside of IBM seeking a single copy only.
Questions about this service can be mailed to reports@us.ibm.com .