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

numerical integrationMonte Carlo methodsrandom fieldsampling designstratified samplingfractional Brownian field

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random fields (60G60) 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.

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Cited in

(3)

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

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