On the convergence rate of quasi Monte Carlo method with importance sampling for unbounded functions in RKHS

DOI10.1016/J.AML.2024.109352MaRDI QIDQ6656535FDOQ6656535

Authors: Hejin Wang, Xiaoqun Wang 

Publication date: 3 January 2025

Published in: Applied Mathematics Letters (Search for Journal in Brave)

zbMATH Keywords

reproducing kernel Hilbert spaceimportance samplingquasi-Monte Carlo

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30) Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22) Probabilistic theory: distribution modulo (1); metric theory of algorithms (11K99)

Cites Work

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• Quasi-Monte Carlo finite element methods for a class of elliptic partial differential equations with random coefficients
• Asymptotic approximations of integrals
• Halton Sequences Avoid the Origin
• 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
• Randomly shifted lattice rules for unbounded integrands
• Randomly shifted lattice rules with the optimal rate of convergence for unbounded integrands
• Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance
• On the Error Rate of Importance Sampling with Randomized Quasi-Monte Carlo

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