Functions of bounded variation, signed measures, and a general Koksma–Hlawka inequality
From MaRDI portal
Publication:5496944
Abstract: In this paper we prove a correspondence principle between multivariate functions of bounded variation in the sense of Hardy and Krause and signed measures of finite total variation, which allows us to obtain a simple proof of a generalized Koksma--Hlawka inequality for non-uniform measures. Applications of this inequality to importance sampling in Quasi-Monte Carlo integration and tractability theory are given. Furthermore, we discuss the problem of transforming a low-discrepancy sequence with respect to the uniform measure into a sequence with low discrepancy with respect to a general measure , and show the limitations of a method suggested by Chelson.
Recommendations
- Low-discrepancy point sets for non-uniform measures
- Approximation of discrete measures by finite point sets
- scientific article; zbMATH DE number 3946256
- Families of well approximable measures
- The inverse of the star-discrepancy depends linearly on the dimension
- Bounds and constructions for the star-discrepancy via \(\delta\)-covers
- The asymptotic behavior of the average \(L^p\)-discrepancies and a randomized discrepancy
- LeVeque type inequalities and discrepancy estimates for minimal energy configurations on spheres
- An inequality for differences of distribution functions
- Publication:4724719
Cites work
- scientific article; zbMATH DE number 5797591 (Why is no real title available?)
- scientific article; zbMATH DE number 5604036 (Why is no real title available?)
- scientific article; zbMATH DE number 1103085 (Why is no real title available?)
- scientific article; zbMATH DE number 1528185 (Why is no real title available?)
- scientific article; zbMATH DE number 3440485 (Why is no real title available?)
- scientific article; zbMATH DE number 3042316 (Why is no real title available?)
- A Koksma–Hlawka Inequality for Simplices
- A combined Monte Carlo and quasi-Monte Carlo method with applications to option pricing
- A direct inversion method for non-uniform quasi-random point sequences
- A mixed Monte Carlo and quasi-Monte Carlo sequence for multidimensional integral estimation
- A theoretical view on transforming low-discrepancy sequences from a cube to a simplex
- Discrepancy and the error in integration
- Error reduction techniques in quasi-Monte Carlo integration.
- Funktionen von beschränkter Variation in der Theorie der Gleichverteilung
- How do path generation methods affect the accuracy of quasi-Monte Carlo methods for problems in finance?
- Low discrepancy constructions in the triangle
- Low-discrepancy point sets for non-uniform measures
- Multidimensional variation for quasi-Monte Carlo
- Non-uniform low-discrepancy sequence generation and integration of singular integrands
- On Roth's orthogonal function method in discrepancy theory
- On effective computation of expectations in large or infinite dimension
- On the Koksma-Hlawka inequality
- On the small ball inequality in all dimensions
- Properties of Functions f(x, y) of Bounded Variation
- Quasi-Monte Carlo algorithms for unbounded, weighted integration problems
- Quasi-Random Methods for Estimating Integrals Using Relatively Small Samples
- Real analysis. Theory of measure and integration
- Remarks on a Multivariate Transformation
- Sequences, discrepancies and applications
- Some applications of multidimensional integration by parts
- Some current issues in quasi-Monte Carlo methods
- Some upper bounds in the theory of irregularities of distribution
- The inverse of the star-discrepancy depends linearly on the dimension
- Tractability of multivariate problems. Volume I: Linear information
- Tractability of multivariate problems. Volume II: Standard information for functionals.
- Tractability of multivariate problems. Volume III: Standard information for operators
- Transforming low-discrepancy sequences from a cube to a simplex
- Variation of product function and numerical solution of some partial differential equations by low-discrepancy sequences
- Über eine Transformation von gleichverteilten Folgen. II
Cited in
(33)- Sparse M-estimators in semi-parametric copula models
- Computing quantum dynamics in the semiclassical regime
- Discrepancy bounds for a class of negatively dependent random points including Latin hypercube samples
- Quasi-Monte Carlo integration using digital nets with antithetics
- A Koksma-Hlawka inequality for general discrepancy systems
- On the notion of a function of bounded variation and of Riemann-Stieltjes integral with strong partitions on hyperbolic intervals
- Low-discrepancy point sets for non-uniform measures
- scientific article; zbMATH DE number 4011770 (Why is no real title available?)
- Discretising the Herman-Kluk propagator
- Low-discrepancy sequences for piecewise smooth functions on the two-dimensional torus
- A weighted discrepancy bound of quasi-Monte Carlo importance sampling
- Low discrepancy constructions in the triangle
- MARS via lasso
- Quasi-random numbers for copula models
- Multivariate extensions of isotonic regression and total variation denoising via entire monotonicity and Hardy-Krause variation
- Space-filling designs on Riemannian manifolds
- Koksma-Hlawka type inequalities of fractional order
- Improved robust price bounds for multi-asset derivatives under market-implied dependence information
- Negative dependence, scrambled nets, and variance bounds
- On quasi-Monte Carlo methods in weighted ANOVA spaces
- On optimal approximation in periodic Besov spaces
- Transformations and Hardy-Krause variation
- Quasi-Random Sampling for Multivariate Distributions via Generative Neural Networks
- Population Quasi-Monte Carlo
- Optimal inference with a multidimensional multiscale statistic
- On functions of bounded variation
- Negative association, ordering and convergence of resampling methods
- On the convergence rate of randomized quasi-Monte Carlo for discontinuous functions
- A discrepancy bound for deterministic acceptance-rejection samplers beyond \(N^{-1/2}\) in dimension 1
- Low-discrepancy sequences for piecewise smooth functions on the torus
- A Strong Law of Large Numbers for Scrambled Net Integration
- The average error of quadrature formulas for functions of bounded variation
- Integral equations, quasi-Monte Carlo methods and risk modeling
This page was built for publication: Functions of bounded variation, signed measures, and a general Koksma–Hlawka inequality
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5496944)
