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arXiv · 1901.08115

A weighted Discrepancy Bound of quasi-Monte Carlo Importance Sampling

Josef Dick·Daniel Rudolf·Houying Zhu
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Abstract

Importance sampling Monte-Carlo methods are widely used for the approximation of expectations with respect to partially known probability measures. In this paper we study a deterministic version of such an estimator based on quasi-Monte Carlo. We obtain an explicit error bound in terms of the star-discrepancy for this method.

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Josef Dick, Daniel Rudolf, Houying Zhu. 2019-01-21. A weighted Discrepancy Bound of quasi-Monte Carlo Importance Sampling. https://arxiv.org/abs/1901.08115

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