The filtered nearest neighbor method for generating low-discrepancy sequences

The filtered nearest neighbor method for generating low-discrepancy sequences

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Article ID: iaor2007477
Country: United States
Volume: 16
Issue: 1
Start Page Number: 68
End Page Number: 72
Publication Date: Dec 2004
Journal: INFORMS Journal On Computing
Authors: ,
Keywords: random number generators
Abstract:

We introduce the filtered nearest neighbor method for generating low-discrepancy random-number sequences. Simulations show that these sequences have lower discrepancy than either pseudo random or quasi random numbers when used to generate small samples (N≤300) in high dimensions (p≥24). They are therefore useful for approximating high-dimensional expectation integrals when function evaluation is expensive.

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