Monte Carlo Complexity of Parametric Integration
نویسندگان
چکیده
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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عنوان ژورنال:
- J. Complexity
دوره 15 شماره
صفحات -
تاریخ انتشار 1999