Optimal Monte Carlo Methods for L²-Approximation

DOI10.1007/S00365-018-9428-4arXiv1705.04567MaRDI QIDQ6286596FDOQ6286596

Publication date: 12 May 2017

Abstract: We construct Monte Carlo methods for the

L^{2}

-approximation in Hilbert spaces of multivariate functions sampling no more than

n

function values of the target function. Their errors catch up with the rate of convergence and the preasymptotic behavior of the error of any algorithm sampling

n

pieces of arbitrary linear information, including function values.

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Complexity and performance of numerical algorithms (65Y20) Numerical integration (65D30) Analysis of algorithms and problem complexity (68Q25) Multidimensional problems (41A63) Numerical analysis (65-XX) Algorithms for approximation of functions (65D15) Rate of convergence, degree of approximation (41A25)

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