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06/07/2023
Estimating nested expectations without inner conditional sampling and application to value of information analysis
Motivated by various computational applications, we investigate the prob...
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06/02/2023
Strong tractability for multivariate integration in a subspace of the Wiener algebra
Building upon recent work by the author, we prove that multivariate inte...
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12/22/2022
Randomizing the trapezoidal rule gives the optimal RMSE rate in Gaussian Sobolev spaces
Randomized quadratures for integrating functions in Sobolev spaces of or...
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10/12/2022
Polynomial tractability for integration in an unweighted function space with absolutely convergent Fourier series
In this note, we prove that the following function space with absolutely...
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09/27/2022
A universal median quasi-Monte Carlo integration
We study quasi-Monte Carlo (QMC) integration over the multi-dimensional ...
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07/11/2022
Improved bounds on the gain coefficients for digital nets in prime base
We study randomized quasi-Monte Carlo integration by scrambled nets. The...
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06/04/2022
Constructing unbiased gradient estimators with finite variance for conditional stochastic optimization
We study stochastic gradient descent for solving conditional stochastic ...
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02/23/2022
Sub-optimality of Gauss–Hermite quadrature and optimality of trapezoidal rule for functions with finite smoothness
A sub-optimality of Gauss–Hermite quadrature and an optimality of the tr...
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01/24/2022
Construction-free median quasi-Monte Carlo rules for function spaces with unspecified smoothness and general weights
We study quasi-Monte Carlo (QMC) integration of smooth functions defined...
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11/24/2021
An efficient estimation of nested expectations without conditional sampling
Estimating nested expectations is an important task in computational mat...
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09/23/2021
Component-by-component construction of randomized rank-1 lattice rules achieving almost the optimal randomized error rate
We study a randomized quadrature algorithm to approximate the integral o...
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06/23/2021
A note on concatenation of quasi-Monte Carlo and plain Monte Carlo rules in high dimensions
In this short note, we study a concatenation of quasi-Monte Carlo and pl...
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09/02/2020
A simple algorithm for global sensitivity analysis with Shapley effects
Global sensitivity analysis aims at measuring the relative importance of...
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05/18/2020
Unbiased MLMC stochastic gradient-based optimization of Bayesian experimental designs
In this paper we propose an efficient stochastic optimization algorithm ...
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03/09/2020
Toeplitz Monte Carlo
Motivated mainly by applications to partial differential equations with ...
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01/14/2020
Efficient Debiased Variational Bayes by Multilevel Monte Carlo Methods
Variational Bayes is a method to find a good approximation of the poster...
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12/23/2019
Stability of lattice rules and polynomial lattice rules constructed by the component-by-component algorithm
We study quasi-Monte Carlo (QMC) methods for numerical integration of mu...
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12/23/2019
Multilevel Monte Carlo estimation of log marginal likelihood
In this short note we provide an unbiased multilevel Monte Carlo estimat...
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09/02/2019
Multilevel Monte Carlo estimation of the expected value of sample information
We study Monte Carlo estimation of the expected value of sample informat...
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11/19/2018