Stratified Monte Carlo quadrature for continuous random fields

DOI10.1007/S11009-013-9347-6zbMATH Open1344.65006arXiv1104.4920OpenAlexW2160495916MaRDI QIDQ2340296FDOQ2340296

Authors: Konrad Abramowicz, Oleg Seleznjev 

Publication date: 16 April 2015

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

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.

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

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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)

Cites Work

• Title not available (Why is that?)
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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

Uses Software

• spatial

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