Quasi Monte Carlo methods for the numerical assessment of investments plans

In order to assess investments plans, economic indicators need to be quantified. These indicators describe the expected gain as well as the economic risks. Monte-Carlo simulations are often used in this context. However, they require a large computational time to obtain accurate results. As our goal is to find an optimal strategy, Monte-Carlo simulations are not appropriate. Indeed, the Monte-Carlo method would require a too long computational time within an optimization algorithm. Here we propose to use quasi Monte-Carlo methods as an alternative, which provide accurate results more quickly than the Monte-Carlo method.

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