Quasi-Monte Carlo Methods in Python
Pamphile T. Roy, Art B. Owen, Maximilian Balandat, Matt Haberland
Abstract
NumPy random number generators and SciPy distributions are widely used to generate random numbers.However, challenges might arise when sampling in high dimensions.Quasi-Monte Carlo (QMC) methods provide an answer to these problems but are arguably hard to use.Thanks to new developments in SciPy, a new submodule was introduced in version 1.7.0 making state-of-the-art QMC methods available: scipy.stats.qmc.
Topics & Concepts
Python (programming language)Monte Carlo methodComputer scienceStatistical physicsMathematicsProgramming languageStatisticsPhysicsMathematical Approximation and IntegrationScientific Research and DiscoveriesMatrix Theory and Algorithms