Double-loop randomized quasi-Monte Carlo estimator for nested integration

RWTH Publications (RWTH Aachen)

Abstract

Nested integration of the form $\int f\left(\int g(\bs{y},\bs{x})\di{}\bs{x}\right)\di{}\bs{y}$, characterized by an outer integral connected to an inner integral through a nonlinear function $f$, is a challenging problem in various fields, such as engineering and mathematical finance. The available numerical methods for nested integration based on Monte Carlo (MC) methods can be prohibitively expensive owing to the error propagating from the inner to the outer integral. Attempts to enhance the efficiency of these approximations using the quasi-MC (QMC) or randomized QMC (rQMC) method have focused on either the inner or outer integral approximation. This work introduces a novel nested rQMC method that simultaneously addresses the approximation of the inner and outer integrals. The method leverages the unique nested integral structure to offer a more efficient approximation mechanism. As the primary contribution, we derive asymptotic error bounds for the bias and variance of our estimator, along with the regularity conditions under which these bounds can be attained. Incorporating Owen's scrambling techniques, we address integrands exhibiting infinite variation in the Hardy--Krause sense, enabling theoretically sound error estimates. Moreover, we derive a truncation scheme for applications in the context of expected information gain estimation. We verify the estimator quality through numerical experiments by comparing the computational efficiency of the nested rQMC method against standard nested MC estimation to highlight the computational savings and enhanced applicability of the proposed approach.

Authors 5

1. Arved Bartuska
2. André Gustavo Carlon
3. Luis Espath

   University of Nottingham

   Affiliation as printed

   School of Mathematical Sciences , University of Nottingham , Nottingham , NG7 2RD , United Kingdom

4. Sebastian Krumscheid Aachen

   Numerical Method (China) · RWTH Aachen University

   Affiliation as printed

   Alexander von Humboldt Professor in Mathematics for Uncertainty Quantification , RWTH Aachen Univer- sity , Germany

   Scientific Computing Center , and Institute for Applied and Numerical Mathematics , Karlsruhe Institute of Technology , Germany

5. Raul F. Tempone