Department of Mathematics

Speaker: Giray Okten
Title: A Hybrid Sequence for Monte Carlo Simulation: RASRAP
Affiliation: Florida State University
Date: Wednesday, September 5, 2012
Place and Time: Room 101, Love Building, 3:35-4:30 pm
Refreshments: Room 204, Love Building, 3:00 pm

Abstract. (Pseudo)random sequences are useful in many applications, in particular, in Monte Carlo algorithms. However, for certain problems such as numerical integration or global optimization, low-discrepancy (u.d. mod 1) sequences can give estimates with lower error. Rasrap is a sequence obtained by randomizing certain features of a low-discrepancy sequence. I will discuss theoretical and numerical properties of Rasrap, touching on topics such as von Neumann - Kakutani transformation, genetic algorithms, and GPU computing.