Local antithetic sampling with scrambled nets
نویسندگان
چکیده
منابع مشابه
Local Antithetic Sampling with Scrambled Nets
[0,1]d f(x)dx. Monte Carlo (MC) sampling typically attains a root mean squared error (RMSE) of O(n) from n independent random function evaluations. By contrast, quasi-Monte Carlo (QMC) sampling using carefully equispaced evaluation points can attain the rate O(n) for any ε > 0 and randomized QMC (RQMC) can attain the RMSE O(n), both under mild conditions on f . Classical variance reduction meth...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2008
ISSN: 0090-5364
DOI: 10.1214/07-aos548