Quasi-Monte Carlo integration of characteristic functions and the rejection sampling method
type: Item
instance of: scholarly article
title: Quasi-Monte Carlo integration of characteristic functions and the rejection sampling method
zbMATH Open document ID: 0942.65023
DOI: 10.1016/S0010-4655(99)00253-2
author: Xiaoqun Wang
published in: Computer Physics Communications
publication date: 2000-08-21T00:00:00Z
review text: The performance of quasi-Monte Carlo (QMC) integration of indicators (characteristic functions) is improved by replacing the indicator by a continuous function which has the same integral value. This smoothing method is then applied to the rejection sampling method. Next, the rejection method is extended by replacing the acceptance/rejection decision with a sort of `weighted' version. Numerical results illustrated on two integrals (of multiplicity 5 and 7) tend to indicate that importance sampling combined with this extended smoothed rejection method is much more efficient than standard QMC and the unsmoothed rejection method when used with quasi-random numbers.
Mathematics Subject Classification ID: 65D32
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 1394621
zbMATH Keywords: Monte Carlo method
zbMATH Keywords: quasi-Monte Carlo method
zbMATH Keywords: rejection sampling method
zbMATH Keywords: numerical integration
zbMATH Keywords: numerical results
zbMATH Keywords: quasi-random numbers
reviewed by: Radu Theodorescu
MaRDI profile type: Publication
full work available at URL: s0010-4655(99)00253-2
OpenAlex ID: W2081255987
description: scientific article; zbMATH DE number 1394621