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The Journal of Open Source Software

QMCPy: A Python Framework for (Quasi-)Monte Carlo Algorithms

Aleksei G. Sorokin, Fred J. Hickernell, Sou-Cheng Terrya Choi, Jagadeeswaran Rathinavel, Pieterjan Robbe, Aadit Jain

Published Jan 19, 2026• 0 citations
Publisher

Abstract

Monte Carlo (MC) methods estimate high-dimensional integrals by computing sample averages at independent and identically distributed (IID) random points.Quasi-Monte Carlo (QMC) methods replace IID samples with low-discrepancy (LD) sequences which more uniformly cover the integration domain, leading to faster convergence and reduced computational requirements.

DOI
10.21105/joss.09705

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Monte Carlo (MC) methods estimate high-dimensional integrals by computing sample averages at independent and identically distributed (IID) random points.Quasi-Monte Carlo (QMC) methods replace IID samples with low-discrepancy (LD) sequences which more uniformly cover the integration domain, leading to faster convergence and reduced computational requirements.
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Monte Carlo (MQ) method is a powerful tool to approximate high dimensional integrals. The disadvantage of ordinary MQ is the slow convergence rate by cause of the essential randomness of this method. Computations of this convergence can lead to pure time consuming. Quasi-Monte Carlo (QMC) method yields considerably better results since this method is a deterministic alternative which uses Low-Discrepancy sequences instead of random samples . There are a multiplicity of big open problems in QMC-methods, problems partly arising from applications and partly arising from theory. QMC are developed to integrate over unite cube, where it has much more accuracy than MC for integrands of bounded variation. Integration over more general spaces such as triangles, disks and Cartesian products of such spaces is more challenging for QMC. Nevertheless in real-world applications various problems are defined over such spaces. The aim of this thesis is to provide a survey of a solution of such problems of numerical integration defined over non-cubical spaces. We present QMC and randomised QMC (RQMC) constructions in the triangle with a vanishing discrepancy based on the recent work of Basu 2016. The QMC construction is a version of the Van der Corput-Halton sequences specially made to the unit triangle. The attraction of scrambled net is replication based error estimation for QMC with slightly the same accuracy as QMC, and for smooth enough integrands.
Quasi-Monte Carlo (QMC) methods are known to achieve faster convergence rates than Monte Carlo (MC), but their effectiveness in high dimensions often relies on additional structure, such as low effective dimension or carefully chosen coordinate weights. Moreover, in many applications one has access only to random samples rather than deterministic QMC constructions. In this work, we extend the recent method of N. Bansal and H. Jiang and construct high-dimensional QMC point sets from random samples via combinatorial discrepancy. We establish error bounds for these constructions in weighted function spaces, including settings with low effective dimension in both the superposition and truncation senses. We also implement the resulting Subgaussian Transference algorithm and present numerical experiments to assess empirically the performance of these constructions.
We examine the problem of numerically estimating the integral of a function f. The classical approaches to this problem are Monte Carlo (MC) and quasi-Monte Carlo (QMC) methods. MC methods use random samples to evaluate f and have error , where σ(f ) is the standard deviation of f. QMC methods are based on evaluating f at explicit point sets with low discrepancy, and as given by the classical Koksma- Hlawka inequality, they have error Õ (σHK(f )/n ), where σΗΚ(f ) is the variation of f in the sense of Hardy and Krause. These two methods have distinctive advantages and shortcomings, and a fundamental question is to find a method that combines the advantages of both.
Quantum Monte Carlo (QMC) algorithms are among the most powerful classical methods for simulating quantum systems, yet their accuracy is often limited by the systematic errors in the approximations used, such as Trotterization. Here we introduce randomly compiled quantum Monte Carlo (RC-QMC) as a general framework that suppresses these systematic errors by averaging over a family of approximations rather than relying on a single fixed one. This strategy is grounded in the concept of randomized compiling from quantum computing, which suppresses errors by sampling over quantum gates, at essentially no additional computational cost. Consequently, our framework achieves a computational advantage over standard QMC methods when estimating a target state to a desired level of accuracy. We illustrate this advantage on two key Monte Carlo algorithms: (1) path integral quantum Monte Carlo for estimating thermal states, and (2) the quantum trajectories method for simulating open system dynamics. In aggregate, these results represent a cross-fertilization of quantum and classical algorithms, are readily generalizable to other QMC methods, and suggest wider applications in classical simulation.