Good permutations for deterministic scrambled Halton sequences in terms of L2-discrepancy

摘要

One of the best known low-discrepancy sequences, used by many practitioners, is the Halton sequence. Unfortunately, there seems to exist quite some correlation between the points from the higher dimensions. A possible solution to this problem is the so-called scrambling.In this paper, we give an overview of known scrambling methods, and we propose a new way of scrambling which gives good results compared to the others in terms of L2-discrepancy. On top of that, our new scrambling method is very easy to implement.