Analysis of Preintegration Followed by Quasi–Monte Carlo Integration for Distribution Functions and Densities

DOI10.1137/21M146658XMaRDI QIDQ5886221zbMATH OpenFDO

Authors Alexander D. Gilbert, F. Y. Kuo, Ian H. Sloan

Publication date 31 March 2023

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2112.10308

zbMATH Keywords

conditional samplingdensity estimationpreintegrationquasi-Monte Carlo methods

Mathematics Subject Classification ID

Density estimation (62G07) Numerical integration (65D30) Numerical quadrature and cubature formulas (65D32)

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Cites work

• Approximation theory and approximation practice
• Conditional sampling for barrier option pricing under the Heston model
• Conditional sampling for barrier option pricing under the LT method
• Conditioning on One-Step Survival for Barrier Option Simulations
• Constructing Embedded Lattice Rules for Multivariate Integration
• Density estimation by randomized quasi-Monte Carlo
• Efficient Computation of Option Prices and Greeks by Quasi--Monte Carlo Method with Smoothing and Dimension Reduction
• Equivalence between Sobolev spaces of first-order dominating mixed smoothness and unanchored ANOVA spaces on \(\mathbb{R}^d\)
• Fast and accurate computation of the distribution of sums of dependent log-normals
• Fast CBC construction of randomly shifted lattice rules achieving \(\mathcal{O}(n^{- 1 + \delta})\) convergence for unbounded integrands over \(\mathbb{R}^s\) in weighted spaces with POD weights
• High dimensional integration of kinks and jumps -- smoothing by preintegration
• High-dimensional integration: The quasi-Monte Carlo way
• scientific article; zbMATH DE number 53679 (Why is no real title available?)
• Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning
• Multilevel Monte Carlo approximation of distribution functions and densities
• Note on ``The smoothing effect of integration in \(\mathbb {R}^d\) and the ANOVA decomposition
• Randomly shifted lattice rules with the optimal rate of convergence for unbounded integrands
• Sparse grid quadrature in high dimensions with applications in finance and insurance
• The ANOVA decomposition of a non-smooth function of infinitely many variables can have every term smooth
• The smoothing effect of integration in \(\mathbb R^d\) and the ANOVA decomposition
• The smoothing effect of the ANOVA decomposition
• Variance reduction via lattice rules

Cited in

(7)

• Preintegration via Active Subspace
• Analysis of preintegration followed by quasi-Monte Carlo integration for distribution functions and densities
• Multilevel Monte Carlo with numerical smoothing for robust and efficient computation of probabilities and densities
• Conditional quasi-Monte Carlo with constrained active subspaces
• Density estimation for elliptic PDE with random input by preintegration and quasi-Monte Carlo methods
• Theory and construction of quasi-Monte Carlo rules for Asian option pricing and density estimation
• High dimensional integration of kinks and jumps -- smoothing by preintegration

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