Optimal importance sampling for the approximation of integrals

DOI10.1016/j.jco.2009.11.003zbMath1191.65003OpenAlexW2063850653MaRDI QIDQ964918

Aicke Hinrichs

Publication date: 21 April 2010

Published in: Journal of Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jco.2009.11.003

zbMATH Keywords

importance samplingMonte Carlo methodreproducing kernel Hilbert spacesmultivariate integrationtractabilityworst case errorPietsch domination theoremrandomized setting

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Hilbert spaces with reproducing kernels (= (proper) functional Hilbert spaces, including de Branges-Rovnyak and other structured spaces) (46E22) Pseudo-random numbers; Monte Carlo methods (11K45)

Related Items (8)

On a Metropolis-Hastings importance sampling estimator ⋮ A Monte Carlo Method for Integration of Multivariate Smooth Functions ⋮ Lower bounds for the complexity of linear functionals in the randomized setting ⋮ Some Results on the Complexity of Numerical Integration ⋮ On weighted Hilbert spaces and integration of functions of infinitely many variables ⋮ Tractability of infinite-dimensional integration in the worst case and randomized settings ⋮ Worst-case recovery guarantees for least squares approximation using random samples ⋮ Optimal Monte Carlo integration on closed manifolds

Cites Work

• Tractability of integration in non-periodic and periodic weighted tensor product Hilbert spaces
• Tractability of multivariate problems. Volume I: Linear information
• New averaging technique for approximating weighted integrals
• On polynomial-time property for a class of randomized quadratures
• On subspaces of L\(^p\)
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