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math.NA2025
Randomized Quasi-Monte Carlo and Importance Sampling for Super-Fast Growing Functions with Applications to Finance
Jianlong Chen, Yu Xu, Jiarui Du +1
Many problems can be formulated as high-dimensional integrals of discontinuous functions that exhibit significant boundary growth, challenging the error analysis and applications o…
math.NA2025
The -error rate for randomized quasi-Monte Carlo self-normalized importance sampling of unbounded integrands
Jiarui Du, Zhijian He
Self-normalized importance sampling (SNIS) is a fundamental tool in Bayesian inference when the posterior distribution involves an unknown normalizing constant. In many application…
math.NA2025
Enhanced convergence rates of Adaptive Importance Sampling with recycling schemes via quasi-Monte Carlo methods
Jianlong Chen, Jiarui Du, Xiaoqun Wang +1
This article investigates the integration of quasi-Monte Carlo (QMC) methods using the Adaptive Multiple Importance Sampling (AMIS). Traditional Importance Sampling (IS) often suff…