Math & Computer セミナー

Median-based estimators for randomized quasi-Monte Carlo integration

2026年1月9日(金) 15:00 - 17:00

鈴木 航介 (山形大学 准教授)

High-dimensional numerical integration is a ubiquitous challenge across various fields, from mathematical finance to computational physics and Bayesian statistics. While standard Monte Carlo (MC) methods are robust, their probabilistic error convergence rate of $O(N^{-1/2})$ is often insufficient for demanding applications. In this talk, I will introduce Quasi-Monte Carlo (QMC) and Randomized QMC (RQMC) methods, which offer a powerful framework for accelerating integration using low-discrepancy point sets. A key advantage of this deterministic approach is its ability to achieve a convergence rate of $O(N^{-1+\epsilon})$, significantly outperforming the standard MC rate. The second part of the talk will focus on the construction of point sets, specifically lattice rules and digital nets. I will explain how these methods achieve higher-order convergence rates, faster than $O(N^{-1})$, for sufficiently smooth integrands. I will also discuss their randomized variants and demonstrate how RQMC with mean-based estimators provides practical error estimation while maintaining high-order convergence. Finally, I will discuss recent progress in RQMC involving median-based estimators. I will highlight how these estimators achieve almost optimal convergence rates for various function spaces without requiring prior knowledge of the integrand.

会場: セミナー室 (359号室) 3階 359号室とZoomのハイブリッド開催

イベント公式言語: 英語