Abstract: The rejection sampling method is one of the most popular methods used in Monte Carlo methods. It turns out that the standard rejection method is closely related to the problem of quasi-Monte Carlo integration of characteristic functions, whose accuracy may be lost due to the discontinuity of the characteristic functions. We proposed a B-splines smoothed rejection sampling method, which smoothed the characteristic function by B-splines smoothing technique without changing the integral quantity. Numerical experiments showed that the convergence rate of nearly O(N^-1) is regained by using the B-splines smoothed rejection method in importance sampling.

Key words: Quasi-Monte Carlo, Monte Carlo, B-splines, Importance sampling, Numerical integration

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