7 citations · 25 across the 14 of their papers we have counts for
14 papers
Quasi-Monte Carlo for SDE Simulation: Error Analysis and Dimensionality Reduction
Du Ouyang, Zexin Pan, Zhijian He
We investigate the numerical simulation of general stochastic differential equations (SDEs) using Quasi-Monte Carlo (QMC) methods. First, we provide a rigorous theoretical analysis…
Quasi-Monte Carlo for unbounded integrands with importance sampling
Du Ouyang, Xiaoqun Wang, Zhijian He
We consider the problem of estimating an expectation by quasi-Monte Carlo (QMC) methods, where is an unbounded smooth function on $ \mathbb{R}…
On the error rate of importance sampling with randomized quasi-Monte Carlo
Zhijian He, Zhan Zheng, Xiaoqun Wang
Importance sampling (IS) is valuable in reducing the variance of Monte Carlo sampling for many areas, including finance, rare event simulation, and Bayesian inference. It is natura…
An adaptive mixture-population Monte Carlo method for likelihood-free inference
Zhijian He, Shifeng Huo, Tianhui Yang
This paper focuses on variational inference with intractable likelihood functions that can be unbiasedly estimated. A flexible variational approximation based on Gaussian mixtures…
Unbiased MLMC-based variational Bayes for likelihood-free inference
Zhijian He, Zhenghang Xu, Xiaoqun Wang
Variational Bayes (VB) is a popular tool for Bayesian inference in statistical modeling. Recently, some VB algorithms are proposed to handle intractable likelihoods with applicatio…
Comparing Representations in Tracking for Event Camera-based SLAM
Jianhao Jiao, Huaiyang Huang, Liang Li +3
This paper investigates two typical image-type representations for event camera-based tracking: time surface (TS) and event map (EM). Based on the original TS-based tracker, we mak…
Efficient risk estimation via nested multilevel quasi-Monte Carlo simulation
Zhenghang Xu, Zhijian He, Xiaoqun Wang
We consider the problem of estimating the probability of a large loss from a financial portfolio, where the future loss is expressed as a conditional expectation. Since the conditi…
Sensitivity estimation of conditional value at risk using randomized quasi-Monte Carlo
Zhijian He
Conditional value at risk (CVaR) is a popular measure for quantifying portfolio risk. Sensitivity analysis of CVaR is very useful in risk management and gradient-based optimization…
An integrated quasi-Monte Carlo method for handling high dimensional problems with discontinuities in financial engineering
Zhijian He, Xiaoqun Wang
Quasi-Monte Carlo (QMC) method is a useful numerical tool for pricing and hedging of complex financial derivatives. These problems are usually of high dimensionality and discontinu…
On the error rate of conditional quasi-Monte Carlo for discontinuous functions
Zhijian He
This paper studies the rate of convergence for conditional quasi-Monte Carlo (QMC), which is a counterpart of conditional Monte Carlo. We focus on discontinuous integrands defined…
Convergence analysis of quasi-Monte Carlo sampling for quantile and expected shortfall
Zhijian He, Xiaoqun Wang
Quantiles and expected shortfalls are usually used to measure risks of stochastic systems, which are often estimated by Monte Carlo methods. This paper focuses on the use of quasi-…
Asymptotic Normality of Extensible Grid Sampling
Zhijian He, Lingjiong Zhu
Recently, He and Owen (2016) proposed the use of Hilbert's space filling curve (HSFC) in numerical integration as a way of reducing the dimension from to . This paper st…
Quasi-Monte Carlo for discontinuous integrands with singularities along the boundary of the unit cube
Zhijian He
This paper studies randomized quasi-Monte Carlo (QMC) sampling for discontinuous integrands having singularities along the boundary of the unit cube . Both discontinuities…
Extensible grids: uniform sampling on a space-filling curve
Zhijian He, Art B. Owen
We study the properties of points in generated by applying Hilbert's space-filling curve to uniformly distributed points in . For deterministic sampling we obtain…