Randomizing the trapezoidal rule gives the optimal RMSE rate in Gaussian Sobolev spaces

DOI10.1090/MCOM/3910MaRDI QIDQ6129002zbMATH OpenOpenAlexFDO

Authors Takashi Goda, Yoshihito Kazashi, Yuya Suzuki

Publication date 16 April 2024

Published in Mathematics of Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2212.11476

zbMATH Keywords

Gaussian Sobolev spacelower boundrandomized settingroot-mean-squared errortrapezoidal rule

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical integration (65D30) Numerical quadrature and cubature formulas (65D32) Randomized algorithms (68W20)

Abstract: Randomized quadratures for integrating functions in Sobolev spaces of order $alphage1$, where the integrability condition is with respect to the Gaussian measure, are considered. In this function space, the optimal rate for the worst-case root-mean-squared error (RMSE) is established. Here, optimality is for a general class of quadratures, in which adaptive non-linear algorithms with a possibly varying number of function evaluations are also allowed. The optimal rate is given by showing matching bounds. First, a lower bound on the worst-case RMSE of $O(n^{-alpha-1/2})$ is proven, where $n$ denotes an upper bound on the expected number of function evaluations. It turns out that a suitably randomized trapezoidal rule attains this rate, up to a logarithmic factor. A practical error estimator for this trapezoidal rule is also presented. Numerical results support our theory.

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(6)

• How sharp are error bounds? -- Lower bounds on quadrature worst-case errors for analytic functions --
• Construction of optimal algorithms for function approximation in Gaussian Sobolev spaces
• Möbius-transformed trapezoidal rule
• A randomized lattice rule without component-by-component construction
• L₂-approximation using randomized lattice algorithms
• Weighted approximate sampling recovery and integration based on B-spline interpolation and quasi-interpolation

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