The optimal error of Monte Carlo integration (Q1908040): Difference between revisions
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Revision as of 04:27, 12 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The optimal error of Monte Carlo integration |
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The optimal error of Monte Carlo integration (English)
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28 October 1996
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The author shows how to determine the optimal error for the Monte Carlo integration of uniformly bounded real-valued continuous functions. It is shown that a simple modification of the crude Monte Carlo weights provides Monte Carlo rules that are optimal among both linear and nonlinear classes of integration rules. The proof of this result is the focus for the paper and the primary tools used in the proof are related results from summation theory.
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optimal error
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Monte Carlo integration
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