相关论文: A universal median quasi-Monte Carlo integration

We discuss an algorithm for Tchakaloff-like compression of Quasi-MonteCarlo (QMC) volume/surface integration on union of balls (multibubbles). The key tools are Davis-Wilhelmsen theorem on the so-called Tchakaloff sets for positive linear…

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…

Monte Carlo methods are widely used for approximating complicated, multidimensional integrals for Bayesian inference. Population Monte Carlo (PMC) is an important class of Monte Carlo methods, which utilizes a population of proposals to…

In statistical analysis, Monte Carlo (MC) stands as a classical numerical integration method. When encountering challenging sample problem, Markov chain Monte Carlo (MCMC) is a commonly employed method. However, the MCMC estimator is biased…

We consider the problem of computing an approximation to the integral $I=\int_{[0,1]^d}f(x) dx$. Monte Carlo (MC) sampling typically attains a root mean squared error (RMSE) of $O(n^{-1/2})$ from $n$ independent random function evaluations.…

Quasi-Monte Carlo methods are designed for integrands of bounded variation, and this excludes singular integrands. Several methods are known for integrands that become singular on the boundary of the unit cube $[0,1]^d$ or at isolated…

We establish a deterministic and stochastic spherical quasi-interpolation framework featuring scaled zonal kernels derived from radial basis functions on the ambient Euclidean space. The method incorporates both quasi-Monte Carlo and Monte…

The quantum Monte Carlo (QMC) is one of the most promising many-body electronic structure approaches. It employs stochastic techniques for solving the stationary Schr\" odinger equation and for evaluation of expectation values. The key…

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…

Monte Carlo integration approximates an integral of a black-box function by taking the average of many evaluations (i.e., samples) of the function (integrand). For $N$ queries of the integrand, Monte Carlo integration achieves the…

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…

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…

This paper proposes a new importance sampling (IS) that is tailored to quasi-Monte Carlo (QMC) integration over $\mathbb{R}^s$. IS introduces a multiplicative adjustment to the integrand by compensating the sampling from the proposal…

We present a universal parameter-free quantum Monte Carlo (QMC) algorithm designed to simulate arbitrary spin-$1/2$ Hamiltonians. To ensure the convergence of the Markov chain to equilibrium for every conceivable case, we devise a clear and…

We study multivariate integration and approximation for functions belonging to a weighted reproducing kernel Hilbert space based on half-period cosine functions in the worst-case setting. The weights in the norm of the function space depend…

We investigate the application of randomized quasi-Monte Carlo (RQMC) methods in random feature approximations for kernel-based learning. Compared to the classical Monte Carlo (MC) approach \citep{rahimi2007random}, RQMC improves the…

The radial basis function (RBF) and quasi Monte Carlo (QMC) methods are two very promising schemes to handle high-dimension problems with complex and moving boundary geometry due to the fact that they are independent of dimensionality and…

We study the complexity of approximating integrals of smooth functions at absolute precision $\varepsilon > 0$ with confidence level $1 - \delta \in (0,1)$. The optimal error rate for multivariate functions from classical isotropic Sobolev…

QMC rules are equal weight quadrature rules for approximating integrals over $[0,1]^s$. One line of research studies the integration error of functions in the unit ball of so-called Korobov spaces, which are Hilbert spaces of periodic…

The worst case integration error in reproducing kernel Hilbert spaces of standard Monte Carlo methods with n random points decays as $n^{-1/2}$. However, re-weighting of random points can sometimes be used to improve the convergence order.…