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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…