Random and Deterministic Digit Permutations of the Halton Sequence

Abstract

The Halton sequence is one of the classical low-discrepancy sequences. It is e¤ec-tively used in numerical integration when the dimension is small, however, for larger dimensions, the uniformity of the sequence quickly degrades. As a remedy, generalized (scrambled) Halton sequences have been introduced by several researchers since the 1970s. In a generalized Halton sequence, the digits of the original Halton sequence are permuted using a carefully selected permutation. Some of the permutations in the literature are designed to minimize some measure of discrepancy, and some are obtained heuristically.In this paper, we investigate how these carefully selected permutations di¤er from a permutation simply generated at random. We use a recent genetic algorithm, test problems from numerical integration and computational …nance, and a recent randomized quasi-Monte Carlo method, to compare generalized Halton sequences with randomly chosen permutations, with the traditional generalized Halton sequences. Numerical results suggest that the random permutation approach is as good as, or better than, the "best" deterministic permutations.

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