8 citations · 20 across the 9 of their papers we have counts for
11 papers
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…
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…
Sharp general and metric bounds for the star discrepancy of perturbed Halton--Kronecker sequences
Roswitha Hofer, Florian Puchhammer
We consider the star discrepancy of two-dimensional sequences made up as a hybrid between a Kronecker sequence and a perturbed Halton sequence in base 2, where the perturbation is…
On an explicit lower bound for the star discrepancy in three dimensions
Florian Puchhammer
Following a result of D.~Bylik and M.T.~Lacey from 2008 it is known that there exists an absolute constant such that the (unnormalized) -norm of the three-dimensi…
An improved bound for the star discrepancy of sequences in the unit interval
Gerhard Larcher, Florian Puchhammer
It is known that there is a constant such that for every sequence in we have for the star discrepancy of the first elements of the seq…
A Functional Model for SMP Matrices and the Jacobi Flow
Benjamin Eichinger, Florian Puchhammer, Peter Yuditskii
This is the second part of the paper arXiv:1309.0959v2 on the theory of SMP (Strong Moment Problem) matrices and their relation to the Killip-Simon problem on two disjoint interval…
Killip-Simon-classes of Jacobi matrices with essential spectrum on two symmetric and of SMP matrices on two arbitrary intervals
Robert Ensgraber, Florian Puchhammer, Peter Yuditskii
Jacobi matrices probably are the most classical object in spectral theory, while CMV matrices are a comparably fresh one, although they are related to a very classical topic, namel…