47 citations · 411 across the 42 of their papers we have counts for
5 papers · 1 filter
Computing the variance of a conditional expectation via non-nested Monte Carlo
Takashi Goda
Computing the variance of a conditional expectation has often been of importance in uncertainty quantification. Sun et al. has introduced an unbiased nested Monte Carlo estimator,…
Unbiased Monte Carlo estimation for the expected value of partial perfect information
Takashi Goda
The expected value of partial perfect information (EVPPI) denotes the value of eliminating uncertainty on a subset of unknown parameters involved in a decision model. The EVPPI can…
Optimal order quadrature error bounds for infinite-dimensional higher order digital sequences
Takashi Goda, Kosuke Suzuki, Takehito Yoshiki
Quasi-Monte Carlo (QMC) quadrature rules using higher order digital nets and sequences have been shown to achieve the almost optimal rate of convergence of the worst-case error in…
Construction of interlaced polynomial lattice rules for infinitely differentiable functions
Josef Dick, Takashi Goda, Kosuke Suzuki +1
We study multivariate integration over the -dimensional unit cube in a weighted space of infinitely differentiable functions. It is known from a recent result by Suzuki that the…
An explicit construction of optimal order quasi-Monte Carlo rules for smooth integrands
Takashi Goda, Kosuke Suzuki, Takehito Yoshiki
In a recent paper by the authors, it is shown that there exists a quasi-Monte Carlo (QMC) rule which achieves the best possible rate of convergence for numerical integration in a r…