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

作     者：雷桂媛 

作者机构：Department of MathematicsZhejiang UniversityHangzhouChina 

出 版 物：《Journal of Zhejiang University-Science A(Applied Physics & Engineering)》 (浙江大学学报A辑(应用物理与工程)(英文版))

年 卷 期：2002年第3卷第3期

页      面：90-94页

核心收录：

学科分类：07[理学] 070104[理学-应用数学] 0701[理学-数学] 

主　　题：Quasi Monte Carlo Monte Carlo B splines Importance sampling Numerical integration 

摘      要：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. Numerical experiments showed that the convergence rate of nearly O(N -1 ) is regained by using the B splines smoothed rejection method in importance sampling.