Optimal Monte Carlo integration with fixed relative precision

DOI10.1016/j.jco.2012.09.001zbMath1272.65005OpenAlexW2041408257WikidataQ96748971 ScholiaQ96748971MaRDI QIDQ1931425

Wojciech Niemiro, Piotr Pokarowski, Lestaw Gajek

Publication date: 14 January 2013

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

Full work available at URL: https://doi.org/10.1016/j.jco.2012.09.001

zbMATH Keywords

algorithmmean square errorstopping ruleexponential inequalitiesworst case complexityChebyshev inequalitysequential methodsrare event simulationHoeffding's inequality\((\varepsilon, \alpha)\)-approximation

Mathematics Subject Classification ID

Related Items (4)

Rigorous error control methods for estimating means of bounded random variables ⋮ Solvable integration problems and optimal sample size selection ⋮ Optimal confidence for Monte Carlo integration of smooth functions ⋮ Fixed relative precision estimators of growth rate for compound Poisson and Lévy processes

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