On the Error Rate of Importance Sampling with Randomized Quasi-Monte Carlo
Author:
Affiliation:
1. Corresponding author. School of Mathematics, South China University of Technology, Guangzhou 510641, People’s Republic of China.
2. Department of Mathematical Sciences, Tsinghua University, Beijing 100084, People’s Republic of China.
Funder
Guangdong Basic and Applied Basic Research Foundation
Guangzhou Science and Technology Program key projects
National Natural Science Foundation of China
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Numerical Analysis,Applied Mathematics,Computational Mathematics
Reference32 articles.
1. Transformations and Hardy--Krause Variation
2. Quasi-Monte Carlo for an Integrand with a Singularity Along a Diagonal in the Square
3. Maximizing generalized linear mixed model likelihoods with an automated Monte Carlo EM algorithm
4. Monte Carlo and quasi-Monte Carlo methods
5. Valuation of mortgage-backed securities using Brownian bridges to reduce effective dimension
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