Higher-Order Monte Carlo through Cubic Stratification

DOI10.1137/22M1532287MaRDI QIDQ6154530zbMATH OpenWikidataFDO

Authors Nicolas Chopin, Mathieu Gerber

Publication date 15 February 2024

Published in SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2210.01554

zbMATH Keywords

quadratureMonte Carlo integrationsmooth functions

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32)

Abstract: We propose two novel unbiased estimators of the integral $in{t}_{[0,1{]}^s}f(u)du$ for a function $f$, which depend on a smoothness parameter $rinmathbbN$. The first estimator integrates exactly the polynomials of degrees $p<r$ and achieves the optimal error $n^{-1/2-r/s}$ (where $n$ is the number of evaluations of $f$) when $f$ is $r$ times continuously differentiable. The second estimator is computationally cheaper but it is restricted to functions that vanish on the boundary of $[0,1{]}^s$. The construction of the two estimators relies on a combination of cubic stratification and control ariates based on numerical derivatives. We provide numerical evidence that they show good performance even for moderate values of $n$.

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