Stratified Monte Carlo quadrature for continuous random fields

DOI10.1007/S11009-013-9347-6MaRDI QIDQ2340296zbMATH OpenOpenAlexFDO

Authors Konrad Abramowicz, Oleg Seleznjev

Publication date 16 April 2015

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1104.4920

zbMATH Keywords

fractional Brownian fieldMonte Carlo methodsnumerical integrationrandom fieldsampling designstratified sampling

Mathematics Subject Classification ID

Random fields (60G60) Monte Carlo methods (65C05) Numerical integration (65D30)

Abstract: We consider the problem of numerical approximation of integrals of random fields over a unit hypercube. We use a stratified Monte Carlo quadrature and measure the approximation performance by the mean squared error. The quadrature is defined by a finite number of stratified randomly chosen observations with the partition (or strata) generated by a rectangular grid (or design). We study the class of locally stationary random fields whose local behavior is like a fractional Brownian field in the mean square sense and find the asymptotic approximation accuracy for a sequence of designs for large number of the observations. For the H"{o}lder class of random functions, we provide an upper bound for the approximation error. Additionally, for a certain class of isotropic random functions with an isolated singularity at the origin, we construct a sequence of designs eliminating the effect of the singularity point.

Review text

Approximation of integrals of random functions is an important problem as it always appears in many research and applied areas, like enviromental and geosciences, communication theory and signal processing. In this paper, a well-important stratified Monte Carlo quadrature for continuous random fields which local behaviour is like a fractional Brownian field is examined in the mean square sense. An upper bound for the approximation accuracy for q.m. continuous fields satisfying Hölder-type conditions is examined. Random fields with an isolated singularity at the origin are studied and sequences of designs eliminating the effect of singularity are constructed.

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Cited in

(3)

• On Piterbarg max-discretisation theorem for standardised maximum of stationary Gaussian processes
• Trapezoidal Stratified Monte Carlo Integration
• A Nonintrusive Stratified Resampler for Regression Monte Carlo: Application to Solving Nonlinear Equations

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