24 citations · 61 across the 7 of their papers we have counts for
5 papers · 1 filter
Comparison of Sobol' sequences in financial applications
Shin Harase
Sobol' sequences are widely used for quasi-Monte Carlo methods that arise in financial applications. Sobol' sequences have parameter values called direction numbers, which are free…
Conversion of Mersenne Twister to double-precision floating-point numbers
Shin Harase
The 32-bit Mersenne Twister generator MT19937 is a widely used random number generator. To generate numbers with more than 32 bits in bit length, and particularly when converting i…
Quasi-Monte Carlo point sets with small -values and WAFOM
Shin Harase
The -value of a -net is an important criterion of point sets for quasi-Monte Carlo integration, and many point sets are constructed in terms of the -values, as thi…
A search for extensible low-WAFOM point sets
Shin Harase
Matsumoto, Saito, and Matoba recently proposed the Walsh figure of merit (WAFOM), which is a computable criterion for quasi-Monte Carlo point sets using digital nets. Several algor…
On the -linear relations of Mersenne Twister pseudorandom number generators
Shin Harase
Sequence generators obtained by linear recursions over the two-element field , i.e., -linear generators, are widely used as pseudorandom number generato…