25 citations · 48 across the 10 of their papers we have counts for
6 papers · 1 filter
clrng: A tool set for parallel random numbergeneration on GPUs in R
Ruoyong Xu, Patrick Brown, Pierre L'Ecuyer
We introduce the R package clrng which leverages the gpuR package and is able to generate random numbers in parallel on a Graphics Processing Unit (GPU) with the clRNG (OpenCL) lib…
Density Estimation by Monte Carlo and Quasi-Monte Carlo
Pierre L'Ecuyer, Florian Puchhammer
Estimating the density of a continuous random variable X has been studied extensively in statistics, in the setting where n independent observations of X are given a priori and one…
A Tool for Custom Construction of QMC and RQMC Point Sets
Pierre L'Ecuyer, Pierre Marion, Maxime Godin +1
We present LatNet Builder, a software tool to find good parameters for lattice rules, polynomial lattice rules, and digital nets in base 2, for quasi-Monte Carlo (QMC) and randomiz…
Variance Reduction with Array-RQMC for Tau-Leaping Simulation of Stochastic Biological and Chemical Reaction Networks
Florian Puchhammer, Amal Ben Abdellah, Pierre L'Ecuyer
We explore the use of Array-RQMC, a randomized quasi-Monte Carlo method designed for the simulation of Markov chains, to reduce the variance when simulating stochastic biological o…
An algorithm to compute the -value of a digital net and of its projections
Pierre Marion, Maxime Godin, Pierre L'Ecuyer
Digital nets are among the most successful methods to construct low-discrepancy point sets for quasi-Monte Carlo integration. Their quality is traditionally assessed by a measure c…
Reliability Estimation for Networks with Minimal Flow Demand and Random Link Capacities
Zdravko I. Botev, Pierre L'Ecuyer, Bruno Tuffin
We consider a network whose links have random capacities and in which a certain target amount of flow must be carried from some source nodes to some destination nodes. Each destina…