Publications [#384144] of Sifan Liu
Papers Published
- Liu, S. "CONDITIONAL QUASI-MONTE CARLO WITH CONSTRAINED ACTIVE SUBSPACES." SIAM Journal on Scientific Computing 46.5 (October, 2024): A2999-A3021. [doi]
(last updated on 2026/01/17)Abstract:
Conditional Monte Carlo or pre-integration is a powerful tool for reducing variance and improving the regularity of integrands when using Monte Carlo and quasi-Monte Carlo (QMC) methods. To select the variable to pre-integrate, one must consider both the variable's importance and the tractability of the conditional expectation. For integrals over a Gaussian distribution, any linear combination of variables can potentially be pre-integrated. Liu and Owen [SIAM J. Numer. Anal., 61 (2023), pp. 495-514] propose to select the linear combination based on an active subspace decomposition of the integrand. However, pre-integrating the selected direction might be intractable. In this work, we address this issue by finding the active subspace subject to constraints such that pre-integration can be easily carried out. The proposed algorithm also provides a computationally efficient alternative to dimension reduction for pre-integrated functions. The method is applied to examples from computational finance, density estimation, and computational chemistry and is shown to achieve smaller errors than previous methods.