Scrambled net variance for integrals of smooth functions

DOI10.1214/aos/1031594731zbMath0886.65018OpenAlexW2024626809MaRDI QIDQ1372846

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

zbMATH Keywords

integration quasi-Monte Carlo methods 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)

Related Items

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

Uses Software

TESTPACK

Cites Work