Monte Carlo complexity of parametric integration
From MaRDI portal
This article is an application of Monte Carlo methods to perform multivariate integration. Usually, Monte Carlo methods are used to approximate single integrals. Goal of this article is to study the case of parametric integration, that is cases where the integrad depends on a parameter. An open research field is the complexity analysis of parametric integration. This paper consider the complexity of computing integrals depending on a parameter for smooth integrands. An optimal algorithm is developed on the basis of a multigrid variance reduction technique. The complexity analysis implies that the algorithm attains a higher convergence rate than any deterministic algorithm. Because of savings due to computation on multiple grids, this rate is also higher than that of previously developed Monte Carlo algorithms for parametrics integration.
Recommendations
Cites work
- An estimate of the mean remainder term in quadrature formulae
- Bemerkungen zur numerischen Quadratur. I
- Best Approximate Integration Formulas; Best Approximation Formulas
- Convergence and optimization of functional estimates in statistical modelling in Sobolev’s Hubert spaces
- Deterministic and stochastic error bounds in numerical analysis
- Discrete-stochastic procedures for the global estimation of an integral which depends on a parameter
- scientific article; zbMATH DE number 3967776 (Why is no real title available?)
- scientific article; zbMATH DE number 44104 (Why is no real title available?)
- scientific article; zbMATH DE number 49190 (Why is no real title available?)
- scientific article; zbMATH DE number 52814 (Why is no real title available?)
- scientific article; zbMATH DE number 515830 (Why is no real title available?)
- scientific article; zbMATH DE number 3454731 (Why is no real title available?)
- scientific article; zbMATH DE number 3055587 (Why is no real title available?)
- Monte Carlo complexity of global solution of integral equations
- On the calculation of definite integrals dependent on a parameter by the monte carlo method
- The use of ω2-distribution for error estimation in the calculation of integrals by the Monte Carlo method
- Variational properties of averaged equations for periodic media
Cited in
(39)- Chebyshev interpolation for parametric option pricing
- Coupling importance sampling and multilevel Monte Carlo using sample average approximation
- Quantum complexity of parametric integration
- Variance reduction for additive functionals of Markov chains via martingale representations
- Overcoming the curse of dimensionality in the numerical approximation of parabolic partial differential equations with gradient-dependent nonlinearities
- Complexity of parametric initial value problems for systems of odes
- Complexity of parametric initial value problems in Banach spaces
- Central limit theorem for the multilevel Monte Carlo Euler method
- Explicit error bounds for randomized Smolyak algorithms and an application to infinite-dimensional integration
- A continuation multi level Monte Carlo (C-MLMC) method for uncertainty quantification in compressible inviscid aerodynamics
- On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations
- A continuation multilevel Monte Carlo algorithm
- Complexity of Banach space valued and parametric stochastic Itô integration
- Monte Carlo approximation of weakly singular integral operators
- Multi-index Monte Carlo: when sparsity meets sampling
- Goal-oriented adaptive finite element multilevel Monte Carlo with convergence rates
- Overcoming the curse of dimensionality in the numerical approximation of backward stochastic differential equations
- An overview on deep learning-based approximation methods for partial differential equations
- Complexity of Banach space valued and parametric integration
- Construction of a mean square error adaptive Euler-Maruyama method with applications in multilevel Monte Carlo
- Divergence of the multilevel Monte Carlo Euler method for nonlinear stochastic differential equations
- Complexity of parametric integration in various smoothness classes
- On the complexity of parametric ODEs and related problems
- Infinite-dimensional integration in weighted Hilbert spaces: anchored decompositions, optimal deterministic algorithms, and higher-order convergence
- Multilevel Monte Carlo Covariance Estimation for the Computation of Sobol' Indices
- Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning
- Optimization of mesh hierarchies in multilevel Monte Carlo samplers
- Optimal Monte Carlo and quantum algorithms for parametric integration.
- Monte Carlo Techniques for Parametric Finite Multidimensional Integral Equations
- An empirical interpolation and model-variance reduction method for computing statistical outputs of parametrized stochastic partial differential equations
- Uncertainty Quantification by Multilevel Monte Carlo and Local Time-Stepping for Wave Propagation
- Randomized complexity of parametric integration and the role of adaption. I: Finite dimensional case
- Learning the random variables in Monte Carlo simulations with stochastic gradient descent: Machine learning for parametric PDEs and financial derivative pricing
- Randomized complexity of parametric integration and the role of adaption. II: Sobolev spaces
- Deep learning approximations for non-local nonlinear PDEs with Neumann boundary conditions
- Asymptotic properties of Monte Carlo methods in elliptic PDE-constrained optimization under uncertainty
- Multilevel Monte Carlo metamodeling for variance function estimation
- A probabilistic peridynamic framework with an application to the study of the statistical size effect
- Infinite-dimensional quadrature and approximation of distributions
This page was built for publication: Monte Carlo complexity of parametric integration
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1961049)
