Optimal confidence for Monte Carlo integration of smooth functions

DOI10.1007/S10444-019-09728-3MaRDI QIDQ6307313arXivWikidataFDO

Authors Robert J. Kunsch, Daniel Rudolf

Publication date 26 September 2018

Published in arXiv

Full work available at URL https://doi.org/10.1007/S10444-019-09728-3

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30) General theory of numerical analysis in abstract spaces (65J05)

arXiv classification

math.NA

Abstract: We study the complexity of approximating integrals of smooth functions at absolute precision $varepsilon>0$ with confidence level $1-deltain(0,1)$. The optimal error rate for multivariate functions from classical isotropic Sobolev spaces $W_p^r(G)$ with sufficient smoothness on bounded Lipschitz domains $Gsubsetmathbb{R}^d$ is determined. It turns out that the integrability index $p$ has an effect on the influence of the uncertainty $delta$ in the complexity. In the limiting case $p=1$ we see that deterministic methods cannot be improved by randomization. In general, higher smoothness reduces the additional effort for diminishing the uncertainty. Finally, we add a discussion about this problem for function spaces with mixed smoothness.

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