Quasi-Monte Carlo methods for mixture distributions and approximated distributions via piecewise linear interpolation
share
We study numerical integration over bounded regions in ℝ^s, s≥1 with respect to some probability measure. We replace random sampling with quasi-Monte Carlo methods, where the underlying point set is derived from deterministic constructions that aim to fill the space more evenly than random points. Such quasi-Monte Carlo point sets are ordinarily designed for the uniform measure, and the theory only works for product measures when a coordinate-wise transformation is applied. Going beyond this setting, we first consider the case where the target density is a mixture distribution where each term in the mixture comes from a product distribution. Next we consider target densities which can be approximated with such mixture distributions. We require the approximation to be a sum of coordinate-wise products and the approximation to be positive everywhere (so that they can be re-scaled to probability density functions). We use tensor product hat function approximations for this purpose here, since a hat function approximation of a positive function is itself positive. We also study more complex algorithms, where we first approximate the target density with a general Gaussian mixture distribution and approximate the mixtures with an adaptive hat function approximation on rotated intervals. The Gaussian mixture approximation allows us to locate the essential parts of the target density, whereas the adaptive hat function approximation allows us to approximate the finer structure of the target density. We prove convergence rates for each of the integration techniques based on quasi-Monte Carlo sampling for integrands with bounded partial mixed derivatives. The employed algorithms are based on digital (t,s)-sequences over the finite field 𝔽_2 and an inversion method. Numerical examples illustrate the performance of the algorithms for some target densities and integrands.
READ FULL TEXT
