4 papers · 1 filter
Multilevel randomized quasi-Monte Carlo estimator for nested integration
Arved Bartuska, André Gustavo Carlon, Luis Espath +2
Nested integration problems arise in various scientific and engineering applications, including Bayesian experimental design, financial risk assessment, and uncertainty quantificat…
Quasi-Monte Carlo with a Hankel random digital net
Takashi Goda, Yang Liu, Raúl Tempone
This paper proposes a new randomized design of digital nets in which the generating matrices are chosen to be random Hankel matrices. Compared with previous randomized designs of d…
Laplace-based strategies for Bayesian optimal experimental design with nuisance uncertainty
Arved Bartuska, Luis Espath, Raúl Tempone
Finding the optimal design of experiments in the Bayesian setting typically requires estimation and optimization of the expected information gain functional. This functional consis…
Nonasymptotic Convergence Rate of Quasi-Monte Carlo: Applications to Linear Elliptic PDEs with Lognormal Coefficients and Importance Samplings
Yang Liu, Raúl Tempone
This study analyzes the nonasymptotic convergence behavior of the quasi-Monte Carlo (QMC) method with applications to linear elliptic partial differential equations (PDEs) with log…