6 citations · 7 across the 2 of their papers we have counts for
8 papers
Policy Learning and Evaluation with Randomized Quasi-Monte Carlo
Sebastien M. R. Arnold, Pierre L'Ecuyer, Liyu Chen +2
Reinforcement learning constantly deals with hard integrals, for example when computing expectations in policy evaluation and policy iteration. These integrals are rarely analytica…
Density Estimation by Monte Carlo and Quasi-Monte Carlo
Pierre L'Ecuyer, Florian Puchhammer
Estimating the density of a continuous random variable X has been studied extensively in statistics, in the setting where n independent observations of X are given a priori and one…
A Tool for Custom Construction of QMC and RQMC Point Sets
Pierre L'Ecuyer, Pierre Marion, Maxime Godin +1
We present LatNet Builder, a software tool to find good parameters for lattice rules, polynomial lattice rules, and digital nets in base 2, for quasi-Monte Carlo (QMC) and randomiz…
An algorithm to compute the -value of a digital net and of its projections
Pierre Marion, Maxime Godin, Pierre L'Ecuyer
Digital nets are among the most successful methods to construct low-discrepancy point sets for quasi-Monte Carlo integration. Their quality is traditionally assessed by a measure c…
Sampling Conditionally on a Rare Event via Generalized Splitting
Zdravko I. Botev, Pierre L'Ecuyer
We propose and analyze a generalized splitting method to sample approximately from a distribution conditional on the occurrence of a rare event. This has important applications in…
Array-RQMC for option pricing under stochastic volatility models
Amal Ben Abdellah, Pierre L'Ecuyer, Florian Puchhammer
Array-RQMC has been proposed as a way to effectively apply randomized quasi-Monte Carlo (RQMC) when simulating a Markov chain over a large number of steps to estimate an expected c…