The optimal error of Monte Carlo integration (Q1908040): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 06:12, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | The optimal error of Monte Carlo integration |
scientific article |
Statements
The optimal error of Monte Carlo integration (English)
0 references
28 October 1996
0 references
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.
0 references
optimal error
0 references
Monte Carlo integration
0 references