Higher-Order Monte Carlo through Cubic Stratification

DOI10.1137/22M1532287arXiv2210.01554WikidataQ129542090 ScholiaQ129542090MaRDI QIDQ6154530FDOQ6154530

Nicolas Chopin, Mathieu Gerber

Publication date: 15 February 2024

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

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 $n$.

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• The pseudo-marginal approach for efficient Monte Carlo computations
• A Stochastic Approximation Method
• Deterministic and stochastic error bounds in numerical analysis
• When are quasi-Monte Carlo algorithms efficient for high dimensional integrals?
• Higher order scrambled digital nets achieve the optimal rate of the root mean square error for smooth integrands
• A universal algorithm for multivariate integration
• Monte Carlo with determinantal point processes
• Stochastic Quadrature Formulas
• A Modified Monte-Carlo Quadrature. II
• Unbiased Monte Carlo Integration Methods with Exactness for Low Order Polynomials
• A Modified Monte-Carlo Quadrature
• Leave Pima Indians alone: binary regression as a benchmark for Bayesian computation
• Some Results on the Complexity of Numerical Integration

This page was built for publication: Higher-Order Monte Carlo through Cubic Stratification

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6154530)