### Abstract

Monte Carlo integration using quasirandom sequences has theoretical error bounds of size O(N^{-1} log^{d} N) in dimension d, as opposed to the error of size O(N^{-1/2}) for random or pseudorandom sequences. In practice, however, this improved performance for quasirandom sequences is often not observed. The degradation of performance is due to discontinuity or lack of smoothness in the integrand and to large dimension of the domain of integration, both of which often occur in Monte Carlo methods. In this paper, modified Monte Carlo methods are developed, using smoothing and dimension reduction, so that the convergence rate of nearly O(N^{-1}) is regained. The standard rejection method, as used in importance sampling, involves discontinuities, corresponding to the decision to accept or reject. A smoothed rejection method, as well as a method of weighted uniform sampling, is formulated below and found to have error size of almost O(N^{-1}) in quasi-Monte Carlo. Quasi-Monte Carlo evaluation of Feynman-Kac path integrals involves high dimension, one dimension for each discrete time interval. Through an alternative discretization, the effective dimension of the integration domain is drastically reduced, so that the error size close to O(N^{-1}) is again regained.

Original language | English (US) |
---|---|

Pages (from-to) | 37-54 |

Number of pages | 18 |

Journal | Mathematical and Computer Modelling |

Volume | 23 |

Issue number | 8-9 |

State | Published - 1996 |

### Fingerprint

### Keywords

- Acceptance-rejection
- Feynman-Kac
- Monte Carlo
- Quasirandom
- Weighted uniform sampling

### ASJC Scopus subject areas

- Modeling and Simulation
- Computer Science Applications

### Cite this

*Mathematical and Computer Modelling*,

*23*(8-9), 37-54.

**Smoothness and dimension reduction in quasi-Monte Carlo methods.** / Moskowitz, B.; Caflisch, Russel.

Research output: Contribution to journal › Article

*Mathematical and Computer Modelling*, vol. 23, no. 8-9, pp. 37-54.

}

TY - JOUR

T1 - Smoothness and dimension reduction in quasi-Monte Carlo methods

AU - Moskowitz, B.

AU - Caflisch, Russel

PY - 1996

Y1 - 1996

N2 - Monte Carlo integration using quasirandom sequences has theoretical error bounds of size O(N-1 logd N) in dimension d, as opposed to the error of size O(N-1/2) for random or pseudorandom sequences. In practice, however, this improved performance for quasirandom sequences is often not observed. The degradation of performance is due to discontinuity or lack of smoothness in the integrand and to large dimension of the domain of integration, both of which often occur in Monte Carlo methods. In this paper, modified Monte Carlo methods are developed, using smoothing and dimension reduction, so that the convergence rate of nearly O(N-1) is regained. The standard rejection method, as used in importance sampling, involves discontinuities, corresponding to the decision to accept or reject. A smoothed rejection method, as well as a method of weighted uniform sampling, is formulated below and found to have error size of almost O(N-1) in quasi-Monte Carlo. Quasi-Monte Carlo evaluation of Feynman-Kac path integrals involves high dimension, one dimension for each discrete time interval. Through an alternative discretization, the effective dimension of the integration domain is drastically reduced, so that the error size close to O(N-1) is again regained.

AB - Monte Carlo integration using quasirandom sequences has theoretical error bounds of size O(N-1 logd N) in dimension d, as opposed to the error of size O(N-1/2) for random or pseudorandom sequences. In practice, however, this improved performance for quasirandom sequences is often not observed. The degradation of performance is due to discontinuity or lack of smoothness in the integrand and to large dimension of the domain of integration, both of which often occur in Monte Carlo methods. In this paper, modified Monte Carlo methods are developed, using smoothing and dimension reduction, so that the convergence rate of nearly O(N-1) is regained. The standard rejection method, as used in importance sampling, involves discontinuities, corresponding to the decision to accept or reject. A smoothed rejection method, as well as a method of weighted uniform sampling, is formulated below and found to have error size of almost O(N-1) in quasi-Monte Carlo. Quasi-Monte Carlo evaluation of Feynman-Kac path integrals involves high dimension, one dimension for each discrete time interval. Through an alternative discretization, the effective dimension of the integration domain is drastically reduced, so that the error size close to O(N-1) is again regained.

KW - Acceptance-rejection

KW - Feynman-Kac

KW - Monte Carlo

KW - Quasirandom

KW - Weighted uniform sampling

UR - http://www.scopus.com/inward/record.url?scp=0002622180&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=0002622180&partnerID=8YFLogxK

M3 - Article

AN - SCOPUS:0002622180

VL - 23

SP - 37

EP - 54

JO - Mathematical and Computer Modelling

JF - Mathematical and Computer Modelling

SN - 0895-7177

IS - 8-9

ER -