Uncertainty quantification using importance-sampled quasi-Monte Carlo with dimension-independent convergence rates

Abstract: Quasi-Monte Carlo (QMC) integration over unbounded domains $\mathbb{R}^s$ remains challenging due to the high dimensionality of sampling space and the boundary growth of the integrand. In applications such as uncertainty quantification (UQ), the dimension $s$ can reach hundreds or even thousands. To restore the efficiency of quadrature rules in high dimensions, constructive QMC methods like lattice rules have been successfully developed within the framework of weighted function spaces. In contrast to designing problem-specific quadrature points, this paper proposes transforming the underlying integrand to accommodate the off-the-shelf scrambled nets (a construction-free randomized QMC method) via the boundary-damping importance sampling (BDIS) proposed by Pan et al. (2025). We provide a rigorous analysis of the dimension-independent convergence rate of BDIS-based scrambled nets while covering a broader class of unbounded functions than that in Pan et al. (2025). By exploiting the dimension structure of the parametric input random field, the proposed $n$-point quadrature rule achieves a dimension-independent mean squared error rate of $O(n^{-1-α^*+\varepsilon})$ on standard UQ problems in elliptic partial differential equations (PDEs), where $\varepsilon>0$ is arbitrarily small and $α^*\in (0,1)$ reflects the regularity with respect to the parametric variables. Numerical experiments on elliptic PDEs with high-dimensional parameters further demonstrate the effectiveness of the method.