Consistency of randomized integration methods

DOI10.1016/J.JCO.2023.101740MaRDI QIDQ6395282arXivFDO

Authors Julian Hofstadler, Daniel Rudolf

Publication date 31 March 2022

Published in arXiv

Full work available at URL https://doi.org/10.1016/J.JCO.2023.101740

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30)

arXiv classification

cs.NAmath.NA

Abstract: We prove that a class of randomized integration methods, including averages based on $(t,d)$-sequences, Latin hypercube sampling, Frolov points as well as Cranley-Patterson rotations, consistently estimates expectations of integrable functions. Consistency here refers to convergence in mean and/or convergence in probability of the estimator to the integral of interest. Moreover, we suggest median modified methods and show for integrands in $L^p$ with $p>1$ consistency in terms of almost sure convergence

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