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20232026
most citedQuasi-Monte Carlo for unbounded integrands with importance sampling

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math.NA2024

Generalization Error Analysis of Deep Backward Dynamic Programming for Solving Nonlinear PDEs

Du Ouyang, Jichang Xiao, Xiaoqun Wang

We explore the application of the quasi-Monte Carlo (QMC) method in deep backward dynamic programming (DBDP) (Hure et al. 2020) for numerically solving high-dimensional nonlinear p…