Variance analysis for Monte Carlo integration

DOI10.1145/2766930MaRDI QIDQ2802355zbMATH OpenOpenAlexFDO

Authors Adrien Pilleboue, Gurprit Singh, David Coeurjolly, Michael Kazhdan, V. Ostromoukhov

Publication date 25 April 2016

Published in ACM Transactions on Graphics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1145/2766930

zbMATH Keywords

spherical harmonicsFourier analysisMonte Carlo integrationstochastic samplingglobal illumination

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30) Computer graphics; computational geometry (digital and algorithmic aspects) (68U05) Numerical aspects of computer graphics, image analysis, and computational geometry (65D18) Numerical methods for discrete and fast Fourier transforms (65T50)

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Cites work

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• scientific article; zbMATH DE number 967594 (Why is no real title available?)
• A Novel Sampling Theorem on the Sphere
• Blue noise sampling with controlled aliasing
• Computational aspects of Cui-Freeden statistics for equidistribution on the sphere
• Equidistribution on the Sphere
• Fourier analysis of stochastic sampling strategies for assessing bias and variance in integration
• Mean square decay of Fourier transforms in Euclidean and non Euclidean spaces
• Monte Carlo and quasi-Monte Carlo sampling
• Numerical integration on the sphere
• QMC designs: optimal order quasi Monte Carlo integration schemes on the sphere

Cited in

(5)

• Monte Carlo integration with a growing number of control variates
• Sampling and change of measure for Monte Carlo integration on simplices
• Fourier analysis of stochastic sampling strategies for assessing bias and variance in integration
• Bounding the variance in Monte Carlo experiments
• On estimating the structure factor of a point process, with applications to hyperuniformity

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