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Springer Proceedings in Mathematics & Statistics

Alexander Keller Editor

Monte
Carlo and
Quasi-Monte
Carlo Methods
MCQMC 2020, Oxford, United Kingdom,
August 10–14
Springer Proceedings in Mathematics &
Statistics

Volume 387
This book series features volumes composed of selected contributions from
workshops and conferences in all areas of current research in mathematics and
statistics, including data science, operations research and optimization. In addition
to an overall evaluation of the interest, scientific quality, and timeliness of each
proposal at the hands of the publisher, individual contributions are all refereed to the
high quality standards of leading journals in the field. Thus, this series provides the
research community with well-edited, authoritative reports on developments in the
most exciting areas of mathematical and statistical research today.

More information about this series at https://link.springer.com/bookseries/10533

Alexander Keller
Editor

Monte Carlo
and Quasi-Monte Carlo
Methods
MCQMC 2020, Oxford, United Kingdom,
August 10–14
Editor
Alexander Keller
NVIDIA
Berlin, Germany

ISSN 2194-1009 ISSN 2194-1017 (electronic)

Springer Proceedings in Mathematics & Statistics
ISBN 978-3-030-98318-5 ISBN 978-3-030-98319-2 (eBook)
https://doi.org/10.1007/978-3-030-98319-2

Mathematics Subject Classification: 11K45, 11K38, 11K36, 65D30, 65C05, 65C10, 11K16, 91G60, 65-
04, 62G07, 68Q17, 65R20, 65C40, 62D05, 68T07

© The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature
Switzerland AG 2022
This work is subject to copyright. All rights are solely and exclusively licensed by the Publisher, whether
the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse
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Preface

This volume represents the refereed proceedings of the 14th International Confer-
ence on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing
which was held online, August 10–14, 2020. The program of the conference
consisted of 97 recorded regular talks featured on the MCQMC presentations
YouTube channel. Highlights include the invited plenary talks presented live by Yves
Atchadé (Boston University), Jing Dong (Columbia University), Pierre L’Ecuyer
(University of Montreal), Mark Jerrum (Queen Mary University London), Peter
Kritzer (RICAM Linz), Thomas Müller (NVIDIA), David Pfau (Google DeepMind),
Claudia Schillings (University of Mannheim), Mario Ullrich (JKU Linz), and the
tutorials by Aretha Teckentrup (Edinburgh) and Fred Hickernell (IIT). While the
MCQMC conference regularly attracts between 180 and 240 attendees, more than
600 participants registered for the online version of MCQMC 2020.
The articles in this volume were carefully screened and cover both the theory
and the applications of Monte Carlo and quasi-Monte Carlo methods in scientific
computing. We thank the anonymous reviewers for their reports and many others who
contributed enormously to the excellent quality of the conference presentations and
to the high standards for publication in these proceedings by reviewing the abstracts
and manuscripts that were submitted.
The next International Conference on Monte Carlo and Quasi-Monte Carlo
Methods in Scientific Computing (MCQMC 2022) will be hosted by the Johannes
Kepler University (JKU) and the Johann Radon Institute for Computational and
Applied Mathematics (RICAM) in Linz, Austria, in July 2022.

Berlin, Germany Alexander Keller

November 2021

v
Acknowledgements

The University of Oxford organizing committee had been looking forward to

welcoming you all to Oxford. Unfortunately of course, the coronavirus pandemic
has completely ruined all plans. Meeting in person has not been possible; indeed
the United Kingdom has been one of the worst affected countries with all of the
University of Oxford organizing committee significantly impacted in their jobs.
We appreciate the assistance and sponsoring of the International Centre for Math-
ematical Sciences (ICMS) in hosting the plenary talks and tutorials. We thank all
contributors, who recorded their presentations, and the Berlin organizing committee,
who took care of the MCQMC presentations YouTube channel and the conference
program booklet. We are very grateful for the support from our sponsors the Math-
ematical Institute, University of Oxford, the Department of Statistics, University
of Oxford, and the Engineering and Physical Sciences Research Council (EPSRC).
Last but not least, we thank the scientific committee for arranging an exceptional
conference program.

The organizers Mike Giles

Arnaud Doucet
Alexander Keller

vii
viii Acknowledgements

University of Oxford Organizing Committee

Mike Giles United Kingdom, Oxford

Arnaud Doucet United Kingdom, Oxford
Abdul-Lateef Haji-Ali United Kingdom, Heriot-Watt
Jeremy Heng Singapore, ESSEC
Daniel Paulin United Kingdom, Edinburgh
Alex Shestopaloff United Kingdom, Alan Turing Institute
Lukasz Szpruch United Kingdom, Edinburgh
Aretha Teckentrup United Kingdom, Edinburgh

Berlin Organizing Committee

Alexander Keller Germany, NVIDIA

Nikolaus Binder Germany, NVIDIA
Thomas Müller Germany, NVIDIA
Merlin Nimier-David Switzerland, EPFL

Scientific Committee

Christophe Andrieu United Kingdom, Bristol

Andrea Barth Germany, Stuttgart
Zdravko Botev Australia, University of New South Wales
Hector Cancela Uruguay, University of the Republic
Frédéric Cérou France, Inria
Nicolas Chopin France, ENSAE
Ronald Cools Belgium, KU Leuven
Josef Dick Australia, University of New South Wales
Arnaud Doucet United Kingdom, Oxford
Stefan Geiss Finland, Jyväskylä
Mike Giles United Kingdom, Oxford
Mark Girolami United Kingdom, University of Warwick
Paul Glasserman USA, Columbia
Michael Gnewuch Germany, Osnabrück
Emmanuel Gobbet France, Ecole Polytechnique
Takashi Goda Japan, The University of Tokyo
Arnaud Guyader France, University Pierre et Marie Curie
Stefan Heinrich Germany, University Kaiserslautern
Fred J. Hickernell USA, IIT
Aicke Hinrichs Austria, JKU Linz
Acknowledgements ix

Wenzel Jakob Switzerland, EPFL

Bert Kappen Netherlands, Radboud
Alexander Keller Germany, NVIDIA
Dirk Kroese Australia, University Queensland
Frances Kuo Australia, University of New South Wales
Gerhard Larcher Austria, JKU Linz
Christian Lécot France, University Savoie
Pierre L’Ecuyer Canada, University Montréal
Christiane Lemieux Canada, Waterloo
Gunther Leobacher Austria, Graz
Faming Liang USA, University Florida, Gainesville
Makoto Matsumoto Japan, Hiroshima
Eric Moulines France, Ecole Polytechnique
Thomas Müller-Gronbach Germany, Passau
Andreas Neuenkirch Germany, Mannheim
Harald Niederreiter Austria, Academy of Sciences
Erich Novak Germany, FSU, Jena
Dirk Nuyens Belgium, KU Leuven
Art Owen USA, Stanford University
Gilles Pagès France, UPMC
Gareth Peters United Kingdom, University College London
Friedrich Pillichshammer Austria, JKU Linz
Mike Pitt United Kingdom, KCL
Sebastian Reich Germany, Potsdam
Klaus Ritter Germany, Kaiserslautern
Gerardo Rubino France, Inria
Wolfgang Schmid Austria, Salzburg
Ian Sloan Australia, University of New South Wales
Lukasz Szpruch United Kingdom, Edinburgh
Aretha Teckentrup United Kingdom, Edinburgh
Raul Tempone Germany, Aachen
Bruno Tuffin France, INRIA
Grzegorz Wasilkowski USA, University Kentucky
Henryk Woźniakowski USA, Columbia University
The MCQMC Conference Series

The MCQMC conference series is a biennial meeting focused on Monte Carlo (MC)
and quasi-Monte Carlo (QMC) methods in scientific computing. Its aim is to provide
a forum where leading researchers and users can exchange information on the latest
theoretical developments and important applications of these methods. The events
are held in alternate years with the International Conference on Monte Carlo Methods
and Applications (MCM).
In a nutshell, Monte Carlo methods study complex systems by simulations fed by
computer-generated pseudorandom numbers. Quasi-Monte Carlo methods replace
these random numbers by more uniformly distributed and carefully selected numbers
to improve their effectiveness. A large variety of special techniques have been devel-
oped and used to make these methods more effective in terms of speed and accuracy.
The conference series focuses on the mathematical study of these techniques, their
implementation and concrete applications, and their empirical assessment.
The conference was initiated by Harald Niederreiter [6], who co-chaired the first
seven conferences. In 2006, Harald Niederreiter announced his wish to step down
from the organizational role, and a steering committee was formed to ensure and
oversee the continuation of the conference series. Both the steering committee and
the locations of the so far 15 conferences are set out below.
If you are interested in hosting a future MCQMC conference at your institution,
then please contact any member of the steering committee.

Steering Committee

Alexander Keller (Chair) Germany, NVIDIA

Josef Dick Australia, University of New South Wales
Fred J. Hickernell USA, Illinois Institute of Technology
Pierre L’Ecuyer Canada, University Montréal
Christiane Lemieux Canada, University of Waterloo
Art Owen USA, Stanford University
Friedrich Pillichshammer Austria, Johannes Kepler University Linz

xi
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