A table of short-period Tausworthe generators for Markov chain quasi-Monte Carlo
نویسندگان
چکیده
We consider the problem of estimating expectations by using Markov chain Monte Carlo methods and improving accuracy replacing IID uniform random points with quasi-Monte (QMC) points. Recently, it has been shown that QMC remains consistent when driving sequences are completely uniformly distributed (CUD). However, definition CUD is not constructive, so an implementation method short-period Tausworthe generators (i.e., linear feedback shift register over two-element field) approximate proposed. In this paper, we conduct exhaustive search for in terms $t$-value, which a criterion uniformity widely used study methods. provide parameter table show effectiveness numerical examples Gibbs sampling.
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ژورنال
عنوان ژورنال: Journal of Computational and Applied Mathematics
سال: 2021
ISSN: ['0377-0427', '1879-1778', '0771-050X']
DOI: https://doi.org/10.1016/j.cam.2020.113136