Optimal error bound of restricted Monte Carlo integration on anisotropic Sobolev classes (Q2455840)

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Optimal error bound of restricted Monte Carlo integration on anisotropic Sobolev classes
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    Optimal error bound of restricted Monte Carlo integration on anisotropic Sobolev classes (English)
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    26 October 2007
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    The calculation of high-dimensional integrals is applied in different fields of science. Recently, \textit{N. S. Bakhvalov} [On the rate of convergence of indeterministic integration processes within the functional classes \(W^\ell_p\). Theory Probab. Appl. 7, 227 (1962)], \textit{S. Heinrich, E. Novak}, and \textit{H. Pfeiffer} [Monte Carlo and quasi-Monte Carlo methods 2002. 27--49 (2004; Zbl 1041.65005)] have proved that using \({\mathcal O}(\log_2n)\) random bits one can achieve the same error bound of the integration problem for classical isotropic Sobolev class \(W_pr([0,1]^d)\) \((1\leq p\leq\infty)\). In the paper some notions as a solution operator mapping \(S\) on a functional space \(F\), generalized Monte Carlo method, a randomized \(n\)-th minimal error are considered. The class of restricted randomized algorithms with \(n\) function evaluations and \(m\) random bits is considered and the randomized \((n,m)\)-th minimal error on \(F\) \(e_{n,m}^{\text{coin}}(S,F)\) is reminded. The definition of the so-called anisotropic Sobolev class \(W_p^r(D)\) is given. Theorem 2 gives the exact order \(n^{-g(r)- {1 \over 2} + \max \{ {1 \over p}- {1 \over 2}, 0 \}}\) of the randomized \((n, \lfloor(2 + {1 \over g(r)})\log_{2}n\rfloor)\)-th minimal error of the integration on the anisotropic class \(W_p^r(D)\). The study is essentially based on the discretization technique developed for the study of classical Sobolev classes.
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    anisotropic Sobolev classes
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    restricted Monte Carlo integration
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    random bits
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    randomized \((n,m)\)-th minimal error
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    discretization technique
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    high-dimensional integrals
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    restricted randomized algorithms
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