Quasi-Monte Carlo with one categorical variable

Abstract: We study randomized quasi-Monte Carlo (RQMC) estimation of a multivariate integral where one of the variables takes only a finite number of values. This problem arises when the variable of integration is drawn from a mixture distribution as is common in importance sampling and also arises in some recent work on transport maps. We find that when integration error decreases at an RQMC rate that it is then beneficial to oversample the smallest mixture components instead of using a proportional allocation. We also find that for the most accurate RQMC sampling methods, it is advantageous to arrange that our $n=2^m$ randomized Sobol' points split into subsample sizes that are also powers of~$2$.