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A weighted Discrepancy Bound of quasi-Monte Carlo Importance Sampling

Published 21 Jan 2019 in stat.CO, cs.NA, and math.NA | (1901.08115v1)

Abstract: Importance sampling Monte-Carlo methods are widely used for the approximation of expectations with respect to partially known probability measures. In this paper we study a deterministic version of such an estimator based on quasi-Monte Carlo. We obtain an explicit error bound in terms of the star-discrepancy for this method.

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