QUASI-VERSUS PSEUDO-RANDOM GENERATORS: DISCREPANCY, COMPLEXITY AND INTEGRATION-ERROR BASED COMPARISON

Presented here are several quasi- and pseudo-random number generators along with their numerical discrepancy, i.e., nonuniformity measure and computational/ time complexity. These generators have been compared and ranked based on discrepancy, complexity, and error in multiple Monte Carlo integrations. We believe that such a statistical comparison/ranking will be useful for solving real world problems where one needs to scan an s-dimensional region for an optimal solution of a mathematical program or multiple integrations. Keywords: Complexity, Error, Low discrepancy sequence, Monte Carlo integration, Pseudo-random number, Quasi-random number

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