Speeding up Monte Carlo Integration: Control Neighbors for Optimal Convergence

arXiv2305.06151MaRDI QIDQ6510044FDOQ6510044

Authors: Rémi Leluc, François Portier, Johan Segers, Aigerim Zhuman 

Abstract: A novel linear integration rule called $extitcontrolneighbors$ is proposed in which nearest neighbor estimates act as control variates to speed up the convergence rate of the Monte Carlo procedure. The main result is the $mathcalO(n^{-1/2}{n}^{-1/d})$ convergence rate -- where $n$ stands for the number of evaluations of the integrand and $d$ for the dimension of the domain -- of this estimate for Lipschitz functions, a rate which, in some sense, is optimal. Several numerical experiments validate the complexity bound and highlight the good performance of the proposed estimator.

Has companion code repository: https://github.com/remileluc/controlneighbors

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