A weighted Discrepancy Bound of quasi-Monte Carlo Importance Sampling

01/21/2019

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by   Josef Dick, et al.

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Importance sampling Monte-Carlo methods are widely used for the approximation of expectations with respect to partially known probability measures. In this paper we study a deterministic version of such an estimator based on quasi-Monte Carlo. We obtain an explicit error bound in terms of the star-discrepancy for this method.