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) Complexity and performance of numerical algorithms (65Y20) Numerical quadrature and cubature formulas (65D32)

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Cited in

(18)

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• On the quantum and randomized approximation of linear functionals on function spaces
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• Empirically estimating error of integration by quasi-Monte Carlo method
• Approximate evaluations of characteristic polynomials of Boolean functions
• Note: On the Value of Function Evaluation Location Information in Monte Carlo Simulation
• Optimal weighted Monte-Carlo methods
• A minimax principle for the optimal error of Monte Carlo methods
• On the optimization of approximate integration by Monte Carlo methods
• A probabilistic theory for error estimation in automatic integration
• Optimal Monte Carlo method in estimating areas
• First- and second-order error estimates in Monte Carlo integration
• An Optimal Algorithm for Monte Carlo Estimation
• Some results on the complexity of numerical integration
• Optimal Monte Carlo integration with fixed relative precision
• Simple Monte Carlo and the Metropolis algorithm

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