Control Functionals for Quasi-Monte Carlo Integration

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Chris Oates, Mark Girolami ;
Proceedings of the 19th International Conference on Artificial Intelligence and Statistics, PMLR 51:56-65, 2016.

Abstract

Quasi-Monte Carlo (QMC) methods are being adopted in statistical applications due to the increasingly challenging nature of numerical integrals that are now routinely encountered. For integrands with d-dimensions and derivatives of order α, an optimal QMC rule converges at a best-possible rate O(N^-α/d). However, in applications the value of αcan be unknown and/or a rate-optimal QMC rule can be unavailable. Standard practice is to employ \alpha_L-optimal QMC where the lower bound \alpha_L ≤αis known, but in general this does not exploit the full power of QMC. One solution is to trade-off numerical integration with functional approximation. This strategy is explored herein and shown to be well-suited to modern statistical computation. A challenging application to robotic arm data demonstrates a substantial variance reduction in predictions for mechanical torques.

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