3 ms·

Monte Carlo simulations.

• pvitz 6y ago
  Depends on the type of the simulation, but quite often, low discrepancy numbers (like Sobol sequences) are the better choice. Especially in finance, good engines don't or rarely use random numbers.
  • aquarin 6y ago
    PRNG are used for MC in both finance and physics.
    • pvitz 6y ago
      I agree, but I wrote "good engines". If one can choose between convergence with 1/N over 1/sqrt(N), the choice shouldn't be difficult especially in real-time systems.
      • jacobolus 6y ago
        Try http://extremelearning.com.au/unreasonable-effectiveness-of-quasirandom-sequences/ http://extremelearning.com.au/unreasonable-effectiveness-of-...