5 papers · 1 filter
Estimating nested expectations without inner conditional sampling and application to value of information analysis
Tomohiko Hironaka, Takashi Goda
Motivated by various computational applications, we investigate the problem of estimating nested expectations. Building upon recent work by the authors, we propose a novel Monte Ca…
Strong tractability for multivariate integration in a subspace of the Wiener algebra
Takashi Goda
Building upon recent work by the author, we prove that multivariate integration in the following subspace of the Wiener algebra over is strongly polynomially tractable: \…
Toeplitz Monte Carlo
Josef Dick, Takashi Goda, Hiroya Murata
Motivated mainly by applications to partial differential equations with random coefficients, we introduce a new class of Monte Carlo estimators, called Toeplitz Monte Carlo (TMC) e…
Stability of lattice rules and polynomial lattice rules constructed by the component-by-component algorithm
Josef Dick, Takashi Goda
We study quasi-Monte Carlo (QMC) methods for numerical integration of multivariate functions defined over the high-dimensional unit cube. Lattice rules and polynomial lattice rules…
Multilevel Monte Carlo estimation of the expected value of sample information
Tomohiko Hironaka, Michael B. Giles, Takashi Goda +1
We study Monte Carlo estimation of the expected value of sample information (EVSI) which measures the expected benefit of gaining additional information for decision making under u…