25 citations · 48 across the 10 of their papers we have counts for
12 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…
Construction-free median quasi-Monte Carlo rules for function spaces with unspecified smoothness and general weights
Takashi Goda, Pierre L'Ecuyer
We study quasi-Monte Carlo (QMC) integration of smooth functions defined over the multi-dimensional unit cube. Inspired by a recent work of Pan and Owen, we study a new constructio…
clrng: A tool set for parallel random numbergeneration on GPUs in R
Ruoyong Xu, Patrick Brown, Pierre L'Ecuyer
We introduce the R package clrng which leverages the gpuR package and is able to generate random numbers in parallel on a Graphics Processing Unit (GPU) with the clRNG (OpenCL) lib…
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…
Variance Reduction with Array-RQMC for Tau-Leaping Simulation of Stochastic Biological and Chemical Reaction Networks
Florian Puchhammer, Amal Ben Abdellah, Pierre L'Ecuyer
We explore the use of Array-RQMC, a randomized quasi-Monte Carlo method designed for the simulation of Markov chains, to reduce the variance when simulating stochastic biological o…
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…
Monte Carlo and Quasi-Monte Carlo Density Estimation via Conditioning
Pierre L'Ecuyer, Florian Puchhammer, Amal Ben Abdellah
Estimating the unknown density from which a given independent sample originates is more difficult than estimating the mean, in the sense that for the best popular non-parametric de…
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…
Density estimation by Randomized Quasi-Monte Carlo
Amal Ben Abdellah, Pierre L'Ecuyer, Art B. Owen +1
We consider the problem of estimating the density of a random variable that can be sampled exactly by Monte Carlo (MC). We investigate the effectiveness of replacing MC by rand…
Reliability Estimation for Networks with Minimal Flow Demand and Random Link Capacities
Zdravko I. Botev, Pierre L'Ecuyer, Bruno Tuffin
We consider a network whose links have random capacities and in which a certain target amount of flow must be carried from some source nodes to some destination nodes. Each destina…