Optimal confidence for Monte Carlo integration of smooth functions

DOI10.1007/s10444-019-09728-3OpenAlexW2990621778WikidataQ126667529 ScholiaQ126667529MaRDI QIDQ2305562

Robert J. Kunsch, Daniel Rudolf

Publication date: 11 March 2020

Published in: Advances in Computational Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.09890

zbMATH Keywords

confidence intervalsasymptotic errorMonte Carlo integrationinformation-based complexitySobolev functionsstandard information

Mathematics Subject Classification ID

Monte Carlo methods (65C05) General theory of numerical analysis in abstract spaces (65J05) Numerical integration (65D30)

Related Items

Recovery of Sobolev functions restricted to iid sampling ⋮ A Universal Median Quasi-Monte Carlo Integration ⋮ Stability of doubly-intractable distributions ⋮ Consistency of randomized integration methods ⋮ Stable high-order randomized cubature formulae in arbitrary dimension

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