Oct 4, 2022 · The construction of the two estimators relies on a combination of cubic stratification and control ariates based on numerical derivatives. We ...

The construction of the two estimators relies on a combination of cubic stratification and control ariates based on numerical derivatives. We provide numerical ...

Higher-order stochastic integration through cubic stratification. Nicolas Chopin, Mathieu Gerber · School of Mathematics · Statistical Science.

Jun 9, 2023 · The most basic and well-known stochastic integration rule is the crude Monte Carlo method, where one simulates uniformly n independent and ...

This Python package implements the two estimators proposed in the following paper: Higher-order stochastic integration through cubic stratification for ...

Jan 24, 2024 · This paper is concerned with the construction of unbiased estimators of the integral based on a certain number n of evaluations of f.

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We introduce a novel random integration algorithm that boasts both high convergence order and polynomial tractability for functions characterized by sparse ...

Figure 1.: Stratification of [0, 1] s when s = 2. Higher-order stochastic integration through cubic stratification. Preprint. Full-text available. Oct 2022.

Jun 21, 2024 · Higher-order stochastic integration through cubic stratification. Pierre L'Ecuyer, Improved Versions of the Lattice Tester and LatMRG Software ...