On the convergence of quasi-random sampling importance resampling

The Sampling/Importance Resampling (SIR) algorithm can be used for generating representative point sets from a distribution known up to a multiplicative constant. Moreover, the Quasi‐random Sampling Importance Resampling (QSIR) scheme, based on quasi‐Monte Carlo methods, is a recent modification of the SIR algorithm and was empirically shown to have better convergence. We present error convergence results for QSIR that we obtained using quasi‐Monte Carlo theory. (© 2008 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)