Control functionals for Monte Carlo integration
نویسندگان
چکیده
منابع مشابه
Control Functionals for Quasi-Monte Carlo Integration
Quasi-Monte Carlo (QMC) methods are being adopted in statistical applications due to the increasingly challenging nature of numerical integrals that are now routinely encountered. For integrands with d-dimensions and derivatives of order α, an optimal QMC rule converges at a best-possible rate O(N−α/d). However, in applications the value of α can be unknown and/or a rate-optimal QMC rule can be...
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ژورنال
عنوان ژورنال: Journal of the Royal Statistical Society: Series B (Statistical Methodology)
سال: 2016
ISSN: 1369-7412,1467-9868
DOI: 10.1111/rssb.12185