The optimal error of Monte Carlo integration

DOI10.1006/JCOM.1995.1020MaRDI QIDQ1908040zbMATH OpenOpenAlexFDO

Authors Peter Mathé

Publication date 28 October 1996

Published in Journal of Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1006/jcom.1995.1020

zbMATH Keywords

Monte Carlo integrationoptimal error

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical quadrature and cubature formulas (65D32) Complexity and performance of numerical algorithms (65Y20)

Review text

The author shows how to determine the optimal error for the Monte Carlo integration of uniformly bounded real-valued continuous functions. It is shown that a simple modification of the crude Monte Carlo weights provides Monte Carlo rules that are optimal among both linear and nonlinear classes of integration rules. The proof of this result is the focus for the paper and the primary tools used in the proof are related results from summation theory.

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Cited in

(18)

• A probabilistic theory for error estimation in automatic integration
• A minimax principle for the optimal error of Monte Carlo methods
• First- and second-order error estimates in Monte Carlo integration
• Optimal Monte Carlo integration with fixed relative precision
• Optimal Monte Carlo method in estimating areas
• Optimal Monte Carlo integration on closed manifolds
• Simple Monte Carlo and the Metropolis algorithm
• Some results on the complexity of numerical integration
• scientific article; zbMATH DE number 4013851 (Why is no real title available?)
• Optimal weighted Monte-Carlo methods
• Error of calculating the optimal Bayesian estimate using the Monte Carlo method in nonlinear problems
• On the optimization of approximate integration by Monte Carlo methods
• Empirically estimating error of integration by quasi-Monte Carlo method
• Note: On the Value of Function Evaluation Location Information in Monte Carlo Simulation
• An Optimal Algorithm for Monte Carlo Estimation
• On the quantum and randomized approximation of linear functionals on function spaces
• Approximate evaluations of characteristic polynomials of Boolean functions
• Choice of a constant in the expression for the error of the Monte Carlo method

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