most citedOn the error rate of importance sampling with randomized quasi-Monte Carlo

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math.NA2022★ 1 cited

On the error rate of importance sampling with randomized quasi-Monte Carlo

Zhijian He, Zhan Zheng, Xiaoqun Wang

Importance sampling (IS) is valuable in reducing the variance of Monte Carlo sampling for many areas, including finance, rare event simulation, and Bayesian inference. It is natura…