Monte Carlo Complexity of Parametric Integration
نویسندگان
چکیده
منابع مشابه
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...
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ژورنال
عنوان ژورنال: Journal of Complexity
سال: 1999
ISSN: 0885-064X
DOI: 10.1006/jcom.1999.0508