Fast orthogonal transforms and generation of Brownian paths
Sprache des Vortragstitels:
Englisch
Original Tagungtitel:
MCQMC 2012 - Tenth international Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing
Sprache des Tagungstitel:
Englisch
Original Kurzfassung:
We present a couple of fast constructions of discrete Brownian paths that
can be used as alternatives to principal component analysis and Brownian
bridge for stratified Monte Carlo andquasi-Monte Carlo. By fast we mean
that a path of length $n$ can be generated in $O(n \log(n))$ floating point oper-
ations.
We present practical examples of fast and efficient constuction algorithms
combined with quasi-MC integration.