A strong law of large numbers for scrambled net integration

27 Jun 2020 Owen Art B. Rudolf Daniel

This article provides a strong law of large numbers for integration on digital nets randomized by a nested uniform scramble. The motivating problem is optimization over some variables of an integral over others, arising in Bayesian optimization... (read more)

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Categories


  • NUMERICAL ANALYSIS
  • NUMERICAL ANALYSIS
  • STATISTICS THEORY
  • COMPUTATION
  • STATISTICS THEORY