B-splines smoothed rejection sampling method and its applications in quasi-Monte Carlo integration

Abstract

The rejection sampling method is one of the most popular methods used in Monte Carlo methods. It turns out that the standard rejection method is closely related to the problem of quasi-Monte Carlo integration of characteristic functions, whose accuracy may be lost due to the discontinuity of the characteristic functions. We proposed a B-splines smoothed rejection sampling method, which smoothed the characteristic function by B-splines smoothing technique without changing the integral quantity. …

Publication
In Journal of Zhejiang University
Date