Related papers: A Monte Carlo method for integration of multivaria…

We consider the problem of adaptive stratified sampling for Monte Carlo integration of a differentiable function given a finite number of evaluations to the function. We construct a sampling scheme that samples more often in regions where…

We define a Walsh space which contains all functions whose partial mixed derivatives up to order $\delta \ge 1$ exist and have finite variation. In particular, for a suitable choice of parameters, this implies that certain Sobolev spaces…

We introduce a novel random integration algorithm that boasts both high convergence order and polynomial tractability for functions characterized by sparse frequencies or rapidly decaying Fourier coefficients. Specifically, for integration…

This paper concerns the approximation of smooth, high-dimensional functions from limited samples using polynomials. This task lies at the heart of many applications in computational science and engineering - notably, some of those arising…

Quasi-Monte Carlo algorithms are studied for designing discrete approximations of two-stage linear stochastic programs. Their integrands are piecewise linear, but neither smooth nor lie in the function spaces considered for QMC error…

We study multivariate integration of functions that are invariant under permutations (of subsets) of their arguments. We find an upper bound for the $n$th minimal worst case error and show that under certain conditions, it can be bounded…

In the present paper we study quasi-Monte Carlo rules for approximating integrals over the $d$-dimensional unit cube for functions from weighted Sobolev spaces of regularity one. While the properties of these rules are well understood for…

We study a random sampling technique to approximate integrals $\int_{[0,1]^s}f(\mathbf{x})\,\mathrm{d}\mathbf{x}$ by averaging the function at some sampling points. We focus on cases where the integrand is smooth, which is a problem which…

In this article we revisit the problem of numerical integration for monotone bounded functions, with a focus on the class of nonsequential Monte Carlo methods. We first provide new a lower bound on the maximal $L^p$ error of nonsequential…

We show that repulsive random variables can yield Monte Carlo methods with faster convergence rates than the typical $N^{-1/2}$, where $N$ is the number of integrand evaluations. More precisely, we propose stochastic numerical quadratures…

We study numerical integration of functions $f: \mathbb{R}^{s} \to \mathbb{R}$ with respect to a probability measure. By applying the corresponding inverse cumulative distribution function, the problem is transformed into integrating an…

Monte Carlo integration is a commonly used technique to compute intractable integrals and is typically thought to perform poorly for very high-dimensional integrals. To show that this is not always the case, we examine Monte Carlo…

We develop a novel Monte Carlo algorithm for the vector consisting of the supremum, the time at which the supremum is attained and the position at a given (constant) time of an exponentially tempered L\'evy process. The algorithm, based on…

We study equal weight numerical integration, or Quasi Monte Carlo (QMC) rules, for functions in a Sobolev space $H^s(S^d)$ with smoothness parameter $s>d/2$ defined over the unit sphere $S^d$ in $R^{d+1}$. Focusing on $N$-point sets that…

We propose a randomized lattice algorithm for approximating multivariate periodic functions over the $d$-dimensional unit cube from the weighted Korobov space with mixed smoothness $\alpha > 1/2$ and product weights…

This paper provides a convergence analysis for generalized Hamiltonian Monte Carlo samplers, a family of Markov Chain Monte Carlo methods based on leapfrog integration of Hamiltonian dynamics and kinetic Langevin diffusion, that encompasses…

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…

This paper investigates the numerical approximation of integrals for functions in fractional Gaussian Sobolev spaces $W^s_{p}(\mathbb{R}^d,\gamma)$ with dominating mixed smoothness defined via kernel related to the fractional…

This paper investigates a class of algorithms for numerical integration of a function in d dimensions over a compact domain by Monte Carlo methods. We construct a histogram approximation to the function using a partition of the integration…

This paper deals with the construction of an optimal quadrature formula for the approximation of Fourier integrals in the Sobolev space $L_2^{(1)}[a,b]$ of non-periodic, complex valued functions which are square integrable with first order…