| Introduction | Uniform Distribution | Classical Examples | Construction | Irreducible Polynomials | Numerical Integraion | Pricing Theory | References |
The explicit construction of point sets which fill out the
-dimensional unit cube
as uniformly as possible is an important task for many numerical
applications. Pseudo-random numbers are often used for this purpose. However, it is
well-known that pseudo-random numbers are only a subsitute for true random numbers and
tend to show clustering effects. This led to the search for more evenly spread sequences.
The general study of uniformly distributed sequences was initiated by Herman Weyl
in 1916 with a famous paper "Über die Gleichverteilung von Zahlen mod. Eins", W16. He defined the notion of discrepancy
to quantify the quality of uniformity of a finite point set. Now, a sequence is called a low-discrepancy
sequence or quasi-random sequence if the discrepancy of the first
points decays asymptotically as
. There are various explicit constructions, based on combinatiorial
methods, algebraic number theory and ergodic theory.
The construction and application of low-discrepancy sequences recieved a lot of attention
over the last decades in various fields of numerical computation, as well as in
theoretical mathematics. For example, Niederreiter and Xing used algebraic curves over
finite fields to construct low-discrepancy sequences with excellent uniform behaviour and
the best currently known parameters.
We provide a Mathematica demonstration package which can be used as a starting
point to explore some of the concepts and ideas in the area of low-discrepancy sequences.
All the calculation can be done at full precision and in case of the
Niederreiter sequence even formal calculation in any finite field is possible. The focus
of this package is in demonstration and presentation of the basic concepts and not in
speed. A complete set of optimized Mathematica packages, based on an object
oriented stream design, together with extensive documentation is available at http://www.mathdirect.com.
To boost the performance for demanding applications, a C++ template implementation is also
available, which is included into Mathematica via MathLink and runs on
Windows NT/9x and various Unix platforms (Solaris, Irix, AIX, Linux, others on request).
Converted by Mathematica November 18, 1998