Related papers: Quasi-Monte Carlo methods for Choquet integrals

In a recent paper Keister proposed two quadrature rules as alternatives to Monte Carlo for certain multidimensional integrals and reported his test results. In earlier work we had shown that the quasi-Monte Carlo method with generalized…

This paper introduces a Monte Carlo method for maximum likelihood inference in the context of discretely observed diffusion processes. The method gives unbiased and a.s.\@ continuous estimators of the likelihood function for a family of…

We investigate Monte Carlo simulation strategies for determining the effective ("depletion") potential between a pair of hard spheres immersed in a dense sea of much smaller hard spheres. Two routes to the depletion potential are…

One of the main practical applications of quasi-Monte Carlo (QMC) methods is the valuation of financial derivatives. We aim to give a short introduction into option pricing and show how it is facilitated using QMC. We give some practical…

We consider the problem of estimating an expectation $ \mathbb{E}\left[ h(W)\right]$ by quasi-Monte Carlo (QMC) methods, where $ h $ is an unbounded smooth function on $ \mathbb{R}^d $ and $ W$ is a standard normal distributed random…

Many questions in quantitative finance, uncertainty quantification, and other disciplines are answered by computing the population mean, $\mu := \mathbb{E}(Y)$, where instances of $Y:=f(\boldsymbol{X})$ may be generated by numerical…

This article provides a survey of recent research efforts on the application of quasi-Monte Carlo (QMC) methods to elliptic partial differential equations (PDEs) with random diffusion coefficients. It considers, and contrasts, the uniform…

This paper gives foundational results for the application of quasi-stationarity to Monte Carlo inference problems. We prove natural sufficient conditions for the quasi-limiting distribution of a killed diffusion to coincide with a target…

In a recent paper by the authors, it is shown that there exists a quasi-Monte Carlo (QMC) rule which achieves the best possible rate of convergence for numerical integration in a reproducing kernel Hilbert space consisting of smooth…

Quasi-Monte Carlo (QMC) methods are equal weight quadrature rules to approximate integrals over the unit cube with respect to the uniform measure. In this paper we discuss QMC integration with respect to general product measures defined on…

A discussion on the possibility of reducing the variance of quasi-Monte Carlo estimators in applications. Further details are provided in the accompanying paper "Variance Reduction for Quasi-Monte Carlo".

We propose efficient numerical algorithms for approximating statistical solutions of scalar conservation laws. The proposed algorithms combine finite volume spatio-temporal approximations with Monte Carlo and multi-level Monte Carlo…

We study randomized quasi-Monte Carlo (RQMC) estimation of a multivariate integral where one of the variables takes only a finite number of values. This problem arises when the variable of integration is drawn from a mixture distribution as…

Contemporary scientific studies often rely on the understanding of complex quantum systems via computer simulation. This paper initiates the statistical study of quantum simulation and proposes a Monte Carlo method for estimating…

In this review we discuss, from a unified point of view, a variety of Monte Carlo methods used to solve eigenvalue problems in statistical mechanics and quantum mechanics. Although the applications of these methods differ widely, the…

We present a new, biased Monte Carlo scheme for simulating complex, cyclic peptides. Backbone atoms are equilibrated with a biased rebridging scheme, and side-chain atoms are equilibrated with a look-ahead configurational bias Monte Carlo.…

The quantum Monte Carlo methods represent a powerful and broadly applicable computational tool for finding very accurate solutions of the stationary Schroedinger equation for atoms, molecules, solids and a variety of model systems. The…

We present two Monte Carlo sampling algorithms for probabilistic inference that guarantee polynomial-time convergence for a larger class of network than current sampling algorithms provide. These new methods are variants of the known…

In this paper, we propose a new generalization of the classical discrete Choquet integral to the multivalued framework in terms of an admissible order that refines the natural partial order on the considered value set. The new Choquet-like…

Many machine learning problems involve Monte Carlo gradient estimators. As a prominent example, we focus on Monte Carlo variational inference (MCVI) in this paper. The performance of MCVI crucially depends on the variance of its stochastic…