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Density Estimation by Monte Carlo and Quasi-Monte Carlo
L'Ecuyer, P.; Puchhammer, F.
(2021)
(2021)
Estimating the density of a continuous random variable $X$ has been studied extensively in statistics, in the setting where $n$ independent observations of $X$ are given a priori and one wishes to estimate the density from ...
Monte Carlo and Quasi-Monte Carlo Density Estimation via Conditioning
L'Ecuyer, P.; Puchhammer, F.; Ben Abdellah, A. (2021)
; Ben Abdellah, A. (2021)
Estimating the unknown density from which a given independent sample originates is more difficult than estimating the mean, in the sense that for the best popular non-parametric density estimators, the mean integrated ...
Variance Reduction with Array-RQMC for Tau-Leaping Simulation of Stochastic Biological and Chemical Reaction Networks
Puchhammer, F.; Ben Abdellah, A.; L'Ecuyer, P. (2021)
; Ben Abdellah, A.; L'Ecuyer, P. (2021)
We explore the use of Array-RQMC, a randomized quasi-Monte Carlo method designed for the simulation of Markov chains, to reduce the variance when simulating stochastic biological or chemical reaction networks with ...
A Tool for Custom Construction of QMC and RQMC Point Sets
Godin, M.; Marion, P.; L'Ecuyer, P.; Puchhammer, F. (2021)
(2021)
We present LatNet Builder, a software tool to find good parameters for lattice rules, polynomial lattice rules, and digital nets in base 2, for quasi-Monte Carlo (QMC) and randomized quasi-Monte Carlo (RQMC) sampling over ...