Infinite-dimensional Monte Carlo integration

DOI10.1515/MCMA-2015-0108MaRDI QIDQ898652zbMATH OpenOpenAlexFDO

Authors Gogi Pantsulaia

Publication date 18 December 2015

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1506.04735

zbMATH Keywords

infinite-dimensional Lebesgue measureMonte Carlo algorithminfinite-dimensional Riemann integral

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30) Strong limit theorems (60F15) Set functions and measures on topological groups or semigroups, Haar measures, invariant measures (28C10)

Abstract: By using main properties of uniformly distributed sequences of increasing finite sets in infinite-dimensional rectangles in $R^{infty}$ described in [G.R. Pantsulaia, On uniformly distributed sequences of an increasing family of finite sets in infinite-dimensional rectangles, Real Anal. Exchange. 36 (2) (2010/2011), 325--340 ], a new approach for an infinite-dimensional Monte-Carlo integration is introduced and the validity of some infinite-dimensional Strong Law type theorems are obtained in this paper. In addition, by using properties of uniformly distributed sequences in a unite interval, a new proof of Kolmogorov's strong law of large numbers is obtained which essentially differs from its original proof.

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Cited in

(1)

• Calculation of Lebesgue integrals by using uniformly distributed sequences

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