3 papers
stat.CO2025
Adaptive stratified Monte Carlo using decision trees
Nicolas Chopin, Hejin Wang, Mathieu Gerber
It has been known for a long time that stratification is one possible strategy to obtain higher convergence rates for the Monte Carlo estimation of integrals over the hyper-cube $[…
math.NA2024
Quasi-Monte Carlo and importance sampling methods for Bayesian inverse problems
Zhijian He, Hejin Wang, Xiaoqun Wang
Importance Sampling (IS), an effective variance reduction strategy in Monte Carlo (MC) simulation, is frequently utilized for Bayesian inference and other statistical challenges. Q…
math.NA2023
On the convergence conditions of Laplace importance sampling with randomized quasi-Monte Carlo
Zhan Zheng, Hejin Wang, Xiaoqun Wang
The study further explores randomized QMC (RQMC), which maintains the QMC convergence rate and facilitates computational efficiency analysis. Emphasis is laid on integrating random…