[01001] Recent developments on low-discrepancy point sets for Markov chain quasi-Monte Carlo
Session Time & Room : 5B (Aug.25, 10:40-12:20) @E505
Type : Contributed Talk
Abstract : We consider the problem of estimating expectations by using Markov chain Monte Carlo methods and improving the accuracy by replacing IID uniform random points with quasi-Monte Carlo (QMC) points. In this talk, we present short-period Tausworthe generators for Markov chain QMC optimized in terms of the $t$-value, which is a criterion of uniformity widely used in the study of QMC methods. In addition, we show the effectiveness in some numerical examples using Gibbs sampling.
