论文标题

有限单调函数的集成:重新审视非顺序情况,重点是公正的蒙特卡洛(随机)方法

Integration of bounded monotone functions: Revisiting the nonsequential case, with a focus on unbiased Monte Carlo (randomized) methods

论文作者

Basak, Subhasish, Bect, Julien, Vazquez, Emmanuel

论文摘要

在本文中,我们重新审视单调有限函数的数值集成问题,重点是非序列蒙特卡洛方法的类别。我们首先在非序列算法的最大$ l^p $错误上提供新的A下限,当p> 1> 1时,我们对Novak定理进行了改进。然后,我们专注于Case P = 2并研究了两种无偏见方法的最大误差,即一种基于控制差异技术的方法,以及分层的采样方法。

In this article we revisit the problem of numerical integration for monotone bounded functions, with a focus on the class of nonsequential Monte Carlo methods. We first provide new a lower bound on the maximal $L^p$ error of nonsequential algorithms, improving upon a theorem of Novak when p > 1. Then we concentrate on the case p = 2 and study the maximal error of two unbiased methods-namely, a method based on the control variate technique, and the stratified sampling method.

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