Subscribe to the gold package and get unlimited access to Shamra Academy
Register a new userError in Monte Carlo, quasi-error in Quasi-Monte Carlo
156
0
0.0
(
0
)
Ask ChatGPT about the research
No Arabic abstract
While the Quasi-Monte Carlo method of numerical integration achieves smaller integration error than standard Monte Carlo, its use in particle physics phenomenology has been hindered by the abscence of a reliable way to estimate that error. The standard Monte Carlo error estimator relies on the assumption that the points are generated independently of each other and, therefore, fails to account for the error improvement advertised by the Quasi-Monte Carlo method. We advocate the construction of an estimator of stochastic nature, based on the ensemble of pointsets with a particular discrepancy value. We investigate the consequences of this choice and give some first empirical results on the suggested estimators.
rate research
Read More
Monte Carlo methods are widely used for approximating complicated, multidimensional integrals for Bayesian inference. Population Monte Carlo (PMC) is an important class of Monte Carlo methods, which utilizes a population of proposals to generate weighted samples that approximate the target distribution. The generic PMC framework iterates over three steps: samples are simulated from a set of proposals, weights are assigned to such samples to correct for mismatch between the proposal and target distributions, and the proposals are then adapted via resampling from the weighted samples. When the target distribution is expensive to evaluate, the PMC has its computational limitation since the convergence rate is $mathcal{O}(N^{-1/2})$. To address this, we propose in this paper a new Population Quasi-Monte Carlo (PQMC) framework, which integrates Quasi-Monte Carlo ideas within the sampling and adaptation steps of PMC. A key novelty in PQMC is the idea of importance support points resampling, a deterministic method for finding an optimal subsample from the weighted proposal samples. Moreover, within the PQMC framework, we develop an efficient covariance adaptation strategy for multivariate normal proposals. Lastly, a new set of correction weights is introduced for the weighted PMC estimator to improve the efficiency from the standard PMC estimator. We demonstrate the improved empirical convergence of PQMC over PMC in extensive numerical simulations and a friction drilling application.
Practitioners wishing to experience the efficiency gains from using low discrepancy sequences need correct, well-written software. This article, based on our MCQMC 2020 tutorial, describes some of the better quasi-Monte Carlo (QMC) software available. We highlight the key software components required to approximate multivariate integrals or expectations of functions of vector random variables by QMC. We have combined these components in QMCPy, a Python open source library, which we hope will draw the support of the QMC community. Here we introduce QMCPy.
This paper studies the rate of convergence for conditional quasi-Monte Carlo (QMC), which is a counterpart of conditional Monte Carlo. We focus on discontinuous integrands defined on the whole of $R^d$, which can be unbounded. Under suitable conditions, we show that conditional QMC not only has the smoothing effect (up to infinitely times differentiable), but also can bring orders of magnitude reduction in integration error compared to plain QMC. Particularly, for some typical problems in options pricing and Greeks estimation, conditional randomized QMC that uses $n$ samples yields a mean error of $O(n^{-1+epsilon})$ for arbitrarily small $epsilon>0$. As a by-product, we find that this rate also applies to randomized QMC integration with all terms of the ANOVA decomposition of the discontinuous integrand, except the one of highest order.
Monte Carlo planners can often return sub-optimal actions, even if they are guaranteed to converge in the limit of infinite samples. Known asymptotic regret bounds do not provide any way to measure confidence of a recommended action at the conclusion of search. In this work, we prove bounds on the sub-optimality of Monte Carlo estimates for non-stationary bandits and Markov decision processes. These bounds can be directly computed at the conclusion of the search and do not require knowledge of the true action-value. The presented bound holds for general Monte Carlo solvers meeting mild convergence conditions. We empirically test the tightness of the bounds through experiments on a multi-armed bandit and a discrete Markov decision process for both a simple solver and Monte Carlo tree search.
We examine the sources of error in the histogram reweighting method for Monte Carlo data analysis. We demonstrate that, in addition to the standard statistical error which has been studied elsewhere, there are two other sources of error, one arising through correlations in the reweighted samples, and one arising from the finite range of energies sampled by a simulation of finite length. We demonstrate that while the former correction is usually negligible by comparison with statistical fluctuations, the latter may not be, and give criteria for judging the range of validity of histogram extrapolations based on the size of this latter correction.
Log in to be able to interact and post comments
comments
Fetching comments
Sign in to be able to follow your search criteria
