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

DOI10.1016/J.AML.2024.109352MaRDI QIDQ6656535zbMATH OpenFDO

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)

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Cites work

• scientific article; zbMATH DE number 53679 (Why is no real title available?)
• Asymptotic approximations of integrals
• Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance
• 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
• Halton Sequences Avoid the Origin
• On the Error Rate of Importance Sampling with Randomized Quasi-Monte Carlo
• Quasi-Monte Carlo finite element methods for a class of elliptic partial differential equations with random coefficients
• Randomly shifted lattice rules for unbounded integrands
• Randomly shifted lattice rules with the optimal rate of convergence for unbounded integrands

Cited in

(2)

• Conditional quasi-Monte Carlo with constrained active subspaces
• Achieving high convergence rates by quasi-Monte Carlo and importance sampling for unbounded integrands

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