Variance reduction via lattice rules

DOI10.1287/MNSC.46.9.1214.12231MaRDI QIDQ3114648zbMATH OpenOpenAlexFDO

Authors Pierre L'Ecuyer, Christiane Lemieux

Publication date 19 February 2012

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/d706183ee826dfcd38c9d7c2b8c92f0307dc6a50

zbMATH Keywords

lattice rulesquasi-Monte Carloreductionsimulation variance

Mathematics Subject Classification ID

Monte Carlo methods (65C05)

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Cited in

(50)

• Epi-convergent discretizations of stochastic programs via integration quadratures
• Quality evaluation of scenario-tree generation methods for solving stochastic programming problems
• The effective dimension and quasi-Monte Carlo integration
• Combined generators with components from different families
• A note on variance reduction
• On the distribution of integration error by randomly-shifted lattice rules
• Discrepancy of stratified samples from partitions of the unit cube
• Variance reduction with array-RQMC for tau-leaping simulation of stochastic biological and chemical reaction networks
• On the effective dimension and multilevel Monte Carlo
• Quasi-Monte Carlo methods for two-stage stochastic mixed-integer programs
• Negative association, ordering and convergence of resampling methods
• Control variates and conditional Monte Carlo for basket and Asian options
• Searching for extensible Korobov rules
• Exact sampling with highly uniform point sets
• Low discrepancy sequences in high dimensions: how well are their projections distributed?
• Variance reduction in sample approximations of stochastic programs
• Randomly shifted lattice rules on the unit cube for unbounded integrands in high dimensions
• Simulation-Based Optimality Tests for Stochastic Programs
• Exact simulation of the 3/2 model
• A pseudo-marginal sequential Monte Carlo algorithm for random effects models in Bayesian sequential design
• Comparison of Point Sets and Sequences for Quasi-Monte Carlo and for Random Number Generation
• Variance bounds and existence results for randomly shifted lattice rules
• Efficient lattice assessment for LCG and GLP parameter searches
• The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables
• Effective dimension of some weighted pre-Sobolev spaces with dominating mixed partial derivatives
• Tensor algorithms for advanced sensitivity metrics
• Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions
• Monte Carlo and Quasi–Monte Carlo Density Estimation via Conditioning
• Randomized QMC Methods for Mixed-Integer Two-Stage Stochastic Programs with Application to Electricity Optimization
• On figures of merit for randomly-shifted lattice rules
• Existence and construction of shifted lattice rules with an arbitrary number of points and bounded weighted star discrepancy for general decreasing weights
• Efficient Importance Sampling in Quasi-Monte Carlo Methods for Computational Finance
• Analysis of Preintegration Followed by Quasi–Monte Carlo Integration for Distribution Functions and Densities
• Preintegration via Active Subspace
• On the Error Rate of Importance Sampling with Randomized Quasi-Monte Carlo
• On selection criteria for lattice rules and other quasi-Monte Carlo point sets
• A Tool for Custom Construction of QMC and RQMC Point Sets
• On Dropping the First Sobol’ Point
• Coupling from the past with randomized quasi-Monte Carlo
• A smooth estimator for MC/QMC methods in finance
• The square root rule for adaptive importance sampling
• Sufficient conditions for central limit theorems and confidence intervals for randomized quasi-Monte Carlo methods
• 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
• Randomized quasi-Monte Carlo and Owen's boundary growth condition: a spectral analysis
• A novel method of marginalisation using low discrepancy sequences for integrated nested Laplace approximations
• QMC rules of arbitrary high order: Reproducing kernel Hilbert space approach
• Randomly shifted lattice rules for unbounded integrands
• Epi-convergent discretizations of multistage stochastic programs via integration quadratures
• Quasi-Monte Carlo methods with applications in finance

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