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Randomized Quasi-Monte Carlo for Quantile Estimation

Abstract : We compare two approaches for quantile estimation via randomized quasi-Monte Carlo (RQMC) in an asymptotic setting where the number of randomizations for RQMC grows large but the size of the low-discrepancy point set remains fixed. In the first method, for each randomization, we compute an estimator of the cumulative distribution function (CDF), which is inverted to obtain a quantile estimator, and the overall quantile estimator is the sample average of the quantile estimators across randomizations. The second approach instead computes a single quantile estimator by inverting one CDF estimator across all randomizations. Because quantile estimators are generally biased, the first method leads to an estimator that does not converge to the true quantile as the number of randomizations goes to infinity. In contrast, the second estimator does, and we establish a central limit theorem for it. Numerical results further illustrate these points.
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https://hal.inria.fr/hal-02155421
Contributor : Bruno Tuffin <>
Submitted on : Thursday, June 13, 2019 - 3:31:53 PM
Last modification on : Thursday, January 7, 2021 - 4:35:27 PM

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  • HAL Id : hal-02155421, version 1

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Zachary Kaplan, Yajuan Li, Marvin Nakayama, Bruno Tuffin. Randomized Quasi-Monte Carlo for Quantile Estimation. WSC 2019 - Winter Simulation Conference, Dec 2019, National Harbor, United States. pp.1-14. ⟨hal-02155421⟩

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