RQMC applied to walk-on-spheres for harmonic functions yields median variance decay slightly better than O(n^{-1.1}) and reduction factors 1.8-10.7 across four methods and five examples.
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Randomized quasi-Monte Carlo for walk on spheres
RQMC applied to walk-on-spheres for harmonic functions yields median variance decay slightly better than O(n^{-1.1}) and reduction factors 1.8-10.7 across four methods and five examples.
- Walk on spheres and Array-RQMC