Scrambled net variance for integrals of smooth functions
From MaRDI portal
(Redirected from Publication:1372846)
Recommendations
- scientific article; zbMATH DE number 1321825
- Monte Carlo Variance of Scrambled Net Quadrature
- On integration methods based on scrambled nets of arbitrary size
- On the variance of quadrature over scrambled nets and sequences
- A Strong Law of Large Numbers for Scrambled Net Integration
- On the asymptotic distribution of scrambled net quadrature.
Cites work
- scientific article; zbMATH DE number 45848 (Why is no real title available?)
- scientific article; zbMATH DE number 53679 (Why is no real title available?)
- scientific article; zbMATH DE number 125827 (Why is no real title available?)
- scientific article; zbMATH DE number 524187 (Why is no real title available?)
- scientific article; zbMATH DE number 775913 (Why is no real title available?)
- scientific article; zbMATH DE number 822320 (Why is no real title available?)
- An Overview of Wavelet Based Multiresolution Analyses
- Average case complexity of multivariate integration
- Average case complexity of multivariate integration for smooth functions
- Integration and approximation of multivariate functions: average case complexity with isotropic Wiener measure
- Low-discrepancy sequences and global function fields with many rational places
- Monte Carlo Variance of Scrambled Net Quadrature
- Quasi-Random Sequences and Their Discrepancies
- Ten Lectures on Wavelets
- The jackknife estimate of variance
- The mean square discrepancy of randomized nets
Cited in
(89)- The discrepancy and gain coefficients of scrambled digital nets.
- Are quasi-Monte Carlo algorithms efficient for two-stage stochastic programs?
- Control variates for quasi-Monte Carlo (with comments and rejoinder)
- Exploitation of sensitivity derivatives via randomized quasi-Monte Carlo methods
- Local antithetic sampling with scrambled nets
- Improving Approximate Bayesian Computation via Quasi-Monte Carlo
- Exact sampling with highly uniform point sets
- Construction results for strong orthogonal arrays of strength three
- A pseudo-marginal sequential Monte Carlo algorithm for random effects models in Bayesian sequential design
- Variance reduction with array-RQMC for tau-leaping simulation of stochastic biological and chemical reaction networks
- A construction of polynomial lattice rules with small gain coefficients
- My dream quadrature rule
- A randomized orthogonal array-based procedure for the estimation of first- and second-order Sobol' indices
- Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance
- On integration methods based on scrambled nets of arbitrary size
- scientific article; zbMATH DE number 822320 (Why is no real title available?)
- \(I\)-binomial scrambling of digital nets and sequences
- Variations on \((0,s)\)-sequences
- A multivariate central limit theorem for randomized orthogonal array sampling designs in computer experiments
- Discrepancy bounds for deterministic acceptance-rejection samplers
- Randomized quasi-Monte Carlo methods in pricing securities
- Discrepancy of stratified samples from partitions of the unit cube
- On the dependence structure and quality of scrambled \((t,m,s)\)-nets
- Quasi-random numbers for copula models
- Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo
- Applications of randomized low discrepancy sequences to the valuation of complex securities
- Analysis of variance designs for model output
- Construction of scrambled polynomial lattice rules over \(\mathbb{F}_{2}\) with small mean square weighted \(\mathcal{L}_{2}\) discrepancy
- An Improvement of Normal Approximation of Randomized Orthogonal Array Sampling Designs
- Construction of interlaced scrambled polynomial lattice rules of arbitrary high order
- On the asymptotic distribution of scrambled net quadrature.
- Generic consistency for approximate stochastic programming and statistical problems
- Pricing Bermudan options using low-discrepancy mesh methods
- Scrambling Sobol' and Niederreiter-Xing points
- Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions
- A quasi-Monte Carlo Metropolis algorithm
- Scrambling non-uniform nets
- Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions
- Optimal quadrature for Haar wavelet spaces
- Monte Carlo integration of non-differentiable functions on \([0,1]^\iota\), \(\iota =1,\ldots, d\), using a single determinantal point pattern defined on \([0,1]^d\)
- Integration and approximation based on scramble sampling in arbitrary dimensions
- An improvement of a non uniform bound on normal approximation of randomized orthogonal array sampling designs
- Quasi-regression
- Quasi-Monte Carlo methods with applications in finance
- On the variance of quadrature over scrambled nets and sequences
- A Uniform Bound on a Combinatorial Central Limit Theorem for Randomized Orthogonal Array Sampling Designs
- Component-by-component construction of randomized rank-1 lattice rules achieving almost the optimal randomized error rate
- On the distribution of integration error by randomly-shifted lattice rules
- On the convergence rate of randomized quasi-Monte Carlo for discontinuous functions
- Monte Carlo with determinantal point processes
- The sparse structure of high-dimensional integrands
- Improving the efficiency of fully Bayesian optimal design of experiments using randomised quasi-Monte Carlo
- Accurate emulators for large-scale computer experiments
- Density estimation by randomized quasi-Monte Carlo
- Parameterization based on randomized quasi-Monte Carlo methods
- Higher order scrambled digital nets achieve the optimal rate of the root mean square error for smooth integrands
- Scrambled geometric net integration over general product spaces
- A Strong Law of Large Numbers for Scrambled Net Integration
- Strong tractability of integration using scrambled Niederreiter points
- Discrepancy theory and quasi-Monte Carlo integration
- Randomized Halton sequences
- Walsh functions, scrambled \(( 0 , m , s )\)-nets, and negative covariance: applying symbolic computation to quasi-Monte Carlo integration
- On Dropping the First Sobol’ Point
- The square root rule for adaptive importance sampling
- Conditional quasi-Monte Carlo with constrained active subspaces
- Quasi-Monte Carlo methods for two-stage stochastic mixed-integer programs
- Discrepancy bounds for a class of negatively dependent random points including Latin hypercube samples
- Asymptotic normality of extensible grid sampling
- Computation of the endogenous mortgage rates with randomized quasi-Monte Carlo simulations
- Total effects with constrained features
- Randomized quasi-Monte Carlo methods on triangles: extensible lattices and sequences
- Hierarchical shrinkage Gaussian processes: applications to computer code emulation and dynamical system recovery
- scientific article; zbMATH DE number 7626758 (Why is no real title available?)
- Fast construction of higher order digital nets for numerical integration in weighted Sobolev spaces
- An algorithm to compute the \(t\)-value of a digital net and of its projections
- Discrepancy between QMC and RQMC. II
- Super-polynomial accuracy of one dimensional randomized nets using the median of means
- Asymptotic properties of the spectral test, diaphony, and related quantities
- Sufficient conditions for central limit theorems and confidence intervals for randomized quasi-Monte Carlo methods
- Preintegration via Active Subspace
- Unbiased MLMC-based variational Bayes for likelihood-free inference
- On the Error Rate of Importance Sampling with Randomized Quasi-Monte Carlo
- A Tool for Custom Construction of QMC and RQMC Point Sets
- Achieving high convergence rates by quasi-Monte Carlo and importance sampling for unbounded integrands
- Quasi-Monte Carlo simulation for American option sensitivities
- Consistency of randomized integration methods
- Improved bounds on the gain coefficients for digital nets in prime power base
- Super-polynomial accuracy of multidimensional randomized nets using the median-of-means
- A Universal Median Quasi-Monte Carlo Integration
This page was built for publication: Scrambled net variance for integrals of smooth functions
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1372846)
