Fast integration using quasirandom numbers Desy使用准随机数，DESY速集成.pptVIP

xx May 2005 Ulrich Kerzel, University of Karlsruhe, ACAT 05 - Zeuthen Fast integration usingquasi-randomnumbers J.Bossert, M.Feindt, U.Kerzel University of Karlsruhe ACAT 05 Outline Numerical integration Discrepancy The Koksma-Hlawka inequality Pseudo- and quasi-random numbers Generators for quasi-random numbers Optimising the discrepancy Quasi-random numbers in n dimensions Comparison Examples Numerical integration Integral evaluation using MC technique interprete integral as expectation value estimate by averaging over N samples: use uniformly distributed pseudo-random numbers to sample define error: Discrepancy measure of roughness (deviation from desired flat distribution) Discrepancy cont... in 2 dimensions: local discrepancy (number of points in J proportional to ratio of area of J to unit square) generalised to s dimensions Discrepancy cont... Discrepancy of a ensemble P with norm: Koksma-Hlawka inequality relates error on numerical integration with discrepancy: two handles to minimise error ?: minimise variation of function variable transformation importance sampling sample with numbers with low discrepancy Pseudo-random numbers follow deterministric pattern created by e.g. linear congruence generator statistically independent from each other simulated “real” random numbers Beware of period of generator (e.g. Ranlux: 10165 ) Discrepancy: Lattice 1d: equidistant points have minimal discrepancy first idea: extend to s dimensions ! lattice need N=nd points (otherwise no lattice) Quasi-random numbers constructed to be evenly distributed not independent from each other need to know total number N from beginning good for integration, not simulation low discrepancy series: faster convergence, smaller error Quasi-random series van der Corput series: other series: Halton: extending Corput series to several dimensions Hammersly: replace 1st dim. of Halton series by l