47 citations · 411 across the 42 of their papers we have counts for
4 papers · 1 filter
Multilevel Monte Carlo estimation of log marginal likelihood
Takashi Goda, Kei Ishikawa
In this short note we provide an unbiased multilevel Monte Carlo estimator of the log marginal likelihood and discuss its application to variational Bayes.
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…
Recent advances in higher order quasi-Monte Carlo methods
Takashi Goda, Kosuke Suzuki
In this article we review some of recent results on higher order quasi-Monte Carlo (HoQMC) methods. After a seminal work by Dick (2007, 2008) who originally introduced the concept…