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Preprints, Working Papers, ... Year : 2021

Sufficient Conditions for Central Limit Theorems and Confidence Intervals for Randomized Quasi-Monte Carlo Methods

Abstract

Randomized quasi-Monte Carlo methods have been introduced with the main purpose of yielding a computable measure of error for quasi-Monte Carlo approximations through the implicit application of a central limit theorem over independent randomizations. But to increase precision for a given computational budget, the number of independent randomizations is usually set to a small value so that a large number of points are used from each randomized low-discrepancy sequence to benefit from the fast convergence rate of quasi-Monte Carlo. While a central limit theorem has been previously established for a specific but impractical type of randomization, it is also known in general that fixing the number of randomizations and increasing the length of the sequence used for quasi-Monte Carlo can lead to a non-Gaussian limiting distribution. This paper presents sufficient conditions on the relative growth rates of the number of randomizations and the quasi-Monte Carlo sequence length to ensure a central limit theorem and also an asymptotically valid confidence interval. We obtain several results based on the Lindeberg condition and expressed in terms of the regularity of the integrand and the convergence speed of the quasi-Monte Carlo method. We also analyze the resulting estimator's convergence rate.
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Dates and versions

hal-03196085 , version 1 (12-04-2021)
hal-03196085 , version 2 (18-07-2021)

Identifiers

  • HAL Id : hal-03196085 , version 2

Cite

Marvin K Nakayama, Bruno Tuffin. Sufficient Conditions for Central Limit Theorems and Confidence Intervals for Randomized Quasi-Monte Carlo Methods. 2021. ⟨hal-03196085v2⟩
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