Scrambled net variance for integrals of smooth functions

DOI10.1214/AOS/1031594731zbMATH Open0886.65018OpenAlexW2024626809MaRDI QIDQ1372846FDOQ1372846

Publication date: 18 February 1998

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1031594731

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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.

quasi-Monte Carlo methods integration Latin hypercube error estimation methods multiresolution (wavelet) analysis orthogonal array sampling randomized \((t,m,s)\)-net

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32)

Cites Work

Cited In (89)

Super-polynomial accuracy of multidimensional randomized nets using the median-of-means
Asymptotic normality of extensible grid sampling
Discrepancy between QMC and RQMC. II
On the Error Rate of Importance Sampling with Randomized Quasi-Monte Carlo
Asymptotic properties of the spectral test, diaphony, and related quantities
A Tool for Custom Construction of QMC and RQMC Point Sets
Quasi-Monte Carlo methods for two-stage stochastic mixed-integer programs
Fast construction of higher order digital nets for numerical integration in weighted Sobolev spaces
Super-polynomial accuracy of one dimensional randomized nets using the median of means
Discrepancy bounds for a class of negatively dependent random points including Latin hypercube samples
The square root rule for adaptive importance sampling
Preintegration via Active Subspace
Unbiased MLMC-based variational Bayes for likelihood-free inference
Title not available (Why is that?)
Quasi-Monte Carlo simulation for American option sensitivities
A Universal Median Quasi-Monte Carlo Integration
Conditional quasi-Monte Carlo with constrained active subspaces
Achieving high convergence rates by quasi-Monte Carlo and importance sampling for unbounded integrands
Computation of the endogenous mortgage rates with randomized quasi-Monte Carlo simulations
Sufficient conditions for central limit theorems and confidence intervals for randomized quasi-Monte Carlo methods
Hierarchical shrinkage Gaussian processes: applications to computer code emulation and dynamical system recovery
An algorithm to compute the \(t\)-value of a digital net and of its projections
Consistency of randomized integration methods
Improved bounds on the gain coefficients for digital nets in prime power base
Total effects with constrained features
Randomized quasi-Monte Carlo methods on triangles: extensible lattices and sequences
On Dropping the First Sobol’ Point
On the variance of quadrature over scrambled nets and sequences
Quasi-random numbers for copula models
Construction of scrambled polynomial lattice rules over \(\mathbb{F}_{2}\) with small mean square weighted \(\mathcal{L}_{2}\) discrepancy
Monte Carlo with determinantal point processes
Randomized Halton sequences
A construction of polynomial lattice rules with small gain coefficients
Generic consistency for approximate stochastic programming and statistical problems
An improvement of a non uniform bound on normal approximation of randomized orthogonal array sampling designs
Walsh functions, scrambled \(( 0 , m , s )\)-nets, and negative covariance: applying symbolic computation to quasi-Monte Carlo integration
Improving Approximate Bayesian Computation via Quasi-Monte Carlo
Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance
A randomized orthogonal array-based procedure for the estimation of first- and second-order Sobol' indices
Analysis of variance designs for model output
Conditional quasi-Monte Carlo methods and dimension reduction for option pricing and hedging with discontinuous functions
On the convergence rate of randomized quasi-Monte Carlo for discontinuous functions
Parameterization based on randomized quasi-Monte Carlo methods
Local antithetic sampling with scrambled nets
Are quasi-Monte Carlo algorithms efficient for two-stage stochastic programs?
Construction results for strong orthogonal arrays of strength three
\(I\)-binomial scrambling of digital nets and sequences
Discrepancy of stratified samples from partitions of the unit cube
On the dependence structure and quality of scrambled \((t,m,s)\)-nets
A quasi-Monte Carlo Metropolis algorithm
An Improvement of Normal Approximation of Randomized Orthogonal Array Sampling Designs
On integration methods based on scrambled nets of arbitrary size
Optimal quadrature for Haar wavelet spaces
Variance reduction with array-RQMC for tau-leaping simulation of stochastic biological and chemical reaction networks
A multivariate central limit theorem for randomized orthogonal array sampling designs in computer experiments
Improving the efficiency of fully Bayesian optimal design of experiments using randomised quasi-Monte Carlo
Scrambling non-uniform nets
Exact sampling with highly uniform point sets
On the asymptotic distribution of scrambled net quadrature.
The sparse structure of high-dimensional integrands
A Strong Law of Large Numbers for Scrambled Net Integration
Control variates for quasi-Monte Carlo (with comments and rejoinder)
A pseudo-marginal sequential Monte Carlo algorithm for random effects models in Bayesian sequential design
Randomized quasi-Monte Carlo methods in pricing securities
Density estimation by randomized quasi-Monte Carlo
Strong tractability of integration using scrambled Niederreiter points
Higher order scrambled digital nets achieve the optimal rate of the root mean square error for smooth integrands
Component-by-component construction of randomized rank-1 lattice rules achieving almost the optimal randomized error rate
Discrepancy theory and quasi-Monte Carlo integration
Title not available (Why is that?)
Variations on \((0,s)\)-sequences
Applications of randomized low discrepancy sequences to the valuation of complex securities
Integration and approximation based on scramble sampling in arbitrary dimensions
Exploitation of sensitivity derivatives via randomized quasi-Monte Carlo methods
Monte Carlo integration of non-differentiable functions on \([0,1]^\iota\), \(\iota =1,\ldots, d\), using a single determinantal point pattern defined on \([0,1]^d\)
On the distribution of integration error by randomly-shifted lattice rules
My dream quadrature rule
Discrepancy bounds for deterministic acceptance-rejection samplers
Pricing Bermudan options using low-discrepancy mesh methods
A Uniform Bound on a Combinatorial Central Limit Theorem for Randomized Orthogonal Array Sampling Designs
Scrambled geometric net integration over general product spaces
Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo
Scrambling Sobol' and Niederreiter-Xing points
The discrepancy and gain coefficients of scrambled digital nets.
Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions
Quasi-Monte Carlo methods with applications in finance
Accurate emulators for large-scale computer experiments
Quasi-regression
Construction of interlaced scrambled polynomial lattice rules of arbitrary high order

Uses Software

TESTPACK

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