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ZJUS-A
Journal of Zhejiang University-SCIENCE A (Applied Physics & Engineering)  2002, Vol. 3 Issue (3): 339-343    DOI: 10.1631/jzus.2002.0339
Applied Mathematics     
B-splines smoothed rejection sampling method and its applications in quasi-Monte Carlo integration
LEI Gui-yuan
Department of Mathematics, Zhejiang University, Hangzhou 310028, China
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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. 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.

Key words： Quasi-Monte Carlo      Monte Carlo      B-splines      Importance sampling      Numerical integration     
Received: 02 February 2001     
CLC:  O242:2  
  TB114.1  
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LEI Gui-yuan. B-splines smoothed rejection sampling method and its applications in quasi-Monte Carlo integration. Journal of Zhejiang University-SCIENCE A (Applied Physics & Engineering), 2002, 3(3): 339-343.

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http://www.zjujournals.com/xueshu/zjus-a/10.1631/jzus.2002.0339     OR     http://www.zjujournals.com/xueshu/zjus-a/Y2002/V3/I3/339

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