On the Error Rate of Importance Sampling with Randomized Quasi-Monte Carlo
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Cites work
- A Multivariate Faa di Bruno Formula with Applications
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- Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance
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- Laplace Importance Sampling for Generalized Linear Mixed Models
- Lattice rule algorithms for multivariate approximation in the average case setting
- Local antithetic sampling with scrambled nets
- Maximizing Generalized Linear Mixed Model Likelihoods With an Automated Monte Carlo EM Algorithm
- Monte Carlo Variance of Scrambled Net Quadrature
- On integration methods based on scrambled nets of arbitrary size
- On the convergence of the Laplace approximation and noise-level-robustness of Laplace-based Monte Carlo methods for Bayesian inverse problems
- On the dependence structure and quality of scrambled \((t,m,s)\)-nets
- Quasi-Monte Carlo for an integrand with a singularity along a diagonal in the square
- Quasi-Monte Carlo for integrands with point singularities at unknown locations
- Rare Event Simulation using Monte Carlo Methods
- Safe and Effective Importance Sampling
- Scrambled net variance for integrals of smooth functions
- Transformations and Hardy-Krause variation
- Variance reduction via lattice rules
Cited in
(10)- Bounded Relative Error Importance Sampling and Rare Event Simulation
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- Deep learning based on randomized quasi-Monte Carlo method for solving linear Kolmogorov partial differential equation
- Achieving high convergence rates by quasi-Monte Carlo and importance sampling for unbounded integrands
- On the convergence rate of quasi Monte Carlo method with importance sampling for unbounded functions in RKHS
- Unbiased Markov chain quasi-Monte Carlo for Gibbs samplers
- Randomized quasi-Monte Carlo and Owen's boundary growth condition: a spectral analysis
- Enhanced convergence rates of adaptive importance sampling with recycling schemes via quasi-Monte Carlo methods
- Randomized quasi-Monte Carlo and importance sampling for super-fast growing functions with applications to finance
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