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02/16/2022
Policy Learning and Evaluation with Randomized Quasi-Monte Carlo
Reinforcement learning constantly deals with hard integrals, for example...
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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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01/17/2022
A tool set for random number generation on GPUs in R
We introduce the R package clrng which leverages the gpuR package and is...
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03/29/2021
Density Estimation by Monte Carlo and Quasi-Monte Carlo
Estimating the density of a continuous random variable X has been studie...
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12/18/2020
A Tool for Custom Construction of QMC and RQMC Point Sets
We present LatNet Builder, a software tool to find good parameters for l...
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09/01/2020
Variance Reduction with Array-RQMC for Tau-Leaping Simulation of Stochastic Biological and Chemical Reaction Networks
We explore the use of Array-RQMC, a randomized quasi-Monte Carlo method ...
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10/05/2019
An algorithm to compute the t-value of a digital net and of its projections
Digital nets are among the most successful methods to construct low-disc...
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09/08/2019
Sampling Conditionally on a Rare Event via Generalized Splitting
We propose and analyze a generalized splitting method to sample approxim...
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06/11/2019
Monte Carlo and Quasi-Monte Carlo Density Estimation via Conditioning
Estimating the unknown density from which a given independent sample ori...
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05/28/2019
Array-RQMC for option pricing under stochastic volatility models
Array-RQMC has been proposed as a way to effectively apply randomized qu...
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07/16/2018
Density estimation by Randomized Quasi-Monte Carlo
We consider the problem of estimating the density of a random variable X...
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05/09/2018