BIMSA > Seminar on Control Theory and Nonlinear Filtering Introduction to Quasi-Monte Carlo Integration and Applications (I)
Introduction to Quasi-Monte Carlo Integration and Applications (I)
Organizer
Shing Toung Yau
Speaker
Minli Feng
Time
Wednesday, November 27, 2024 9:00 PM - 10:00 PM
Venue
Online
Abstract
As suggested by its title, this presentation is an introductory text to quasi-Monte Carlo methods and some of their applications, and it aims at giving a comprehensible treatment of the subject with detailed explanations of the basic concepts. We start with the classical multi-dimensional integration problem and its first high dimensional alternative, Monte Carlo integration. The next section is devoted to uniform distribution of sequences and several concepts of discrepancy. We give a discrepancy estimate for one of the oldest specimens of low discrepancy sequences, the Halton sequence.