4 search results - page 1 / 1 » Randomly shifted lattice rules for unbounded integrands |
JC
2006
13 years 4 months ago
2006
We study the problem of multivariate integration on the unit cube for unbounded integrands. Our study is motivated by problems in statistics and mathematical finance, where unboun...
JC
2006
13 years 4 months ago
2006
We study the problem of multivariate integration over Rd with integrands of the form f(x)d(x) where d is a probability density function. Practical problems of this form occur comm...
WSC
2004
13 years 6 months ago
2004
We review the basic principles of Quasi-Monte Carlo (QMC) methods, the randomizations that turn them into variancereduction techniques, and the main classes of constructions under...
STOC
1997
ACM
13 years 9 months ago
1997
ACM
For a large class of examples arising in statistical physics known as attractive spin systems (e.g., the Ising model), one seeks to sample from a probability distribution π on an...