Monte Carlo Complexity of Parametric Integration
- The Monte Carlo complexity of computing integrals depending on a parameter is analyzed for smooth integrands. An optimal algorithm is developed on the basis of a multigrid variance reduction technique. The complexity analysis implies that our algorithm attains a higher convergence rate than any deterministic algorithm. Moreover, because of savings due to computation on multiple grids, this rate is also higher than that of previously developed Monte Carlo algorithms for parametric integration.
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| Author: | Stefan Heinrich, Eugène Sindambiwe |
|---|---|
| URN: | urn:nbn:de:hbz:386-kluedo-49437 |
| Series (Serial Number): | Interner Bericht des Fachbereich Informatik (297) |
| Document Type: | Report |
| Language of publication: | English |
| Date of Publication (online): | 2017/10/25 |
| Year of first Publication: | 1998 |
| Publishing Institution: | Technische Universität Kaiserslautern |
| Date of the Publication (Server): | 2017/10/25 |
| Page Number: | 21 |
| Faculties / Organisational entities: | Kaiserslautern - Fachbereich Informatik |
| DDC-Cassification: | 0 Allgemeines, Informatik, Informationswissenschaft / 004 Informatik |
| Licence (German): |  Creative Commons 4.0 - Namensnennung, nicht kommerziell, keine Bearbeitung (CC BY-NC-ND 4.0) |